Tighter alternatives to the Cramer-Rao lower bound for discrete-time filtering

@article{Reece2005TighterAT,
  title={Tighter alternatives to the Cramer-Rao lower bound for discrete-time filtering},
  author={Steven Reece and David H Nicholson},
  journal={2005 7th International Conference on Information Fusion},
  year={2005},
  volume={1},
  pages={6 pp.-}
}
The Cramer-Rao Lower Bound establishes a fundamental performance baseline for gauging parameter estimation accuracy in tracking and data fusion. However, it is known to be a weak lower bound for some problems. This paper presents a set of tighter alternatives: the Bhattacharyya, Bobrovsky-Zakai and Weiss-Weinstein lower bounds. General mathematical expressions are obtained for these bounds and their calculation is described. Then the bounds are applied to a nonlinear/non-Gaussian estimation… CONTINUE READING
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