On the error behavior in linear minimum variance estimation problems

@article{Sorenson1967OnTE,
  title={On the error behavior in linear minimum variance estimation problems},
  author={Harold W. Sorenson},
  journal={IEEE Transactions on Automatic Control},
  year={1967},
  volume={12},
  pages={557-562}
}
For linear systems the error covariance matrix for the unbiased, minimum variance estimate of the state does not depend upon any specific realization of the measurement sequence. Thus it can be examined to determine the expected behavior of the error in the estimate before actually using the filter in practice. In this paper, the general linear system that contains both plant and measurement noise is shown to exhibit a decomposition property that permits the derivation of upper and lower bounds… CONTINUE READING