Abstract: The optimal nonlinear filtering of certain vector-valued diffusion processes embedded in white noise is considered. We derive upper and lower ...
ISSN Information: Print ISSN: 0018-9448 Electronic ISSN: 1557-9654
We derive upper and lower bounds on the minimal causal mean-square error. The derivation of the lower bound is based on information-theoretic considerations, ...
Abstract. The optimal nonlinear filtering of certain vector-valued diffusion processes embedded in white noise is considered. We derive upper and lower bounds ...
Lower and upper bounds on the optimal filtering error of certain diffusion processes. IEEE Trans. Inform. Theory, 18 (1972), pp. 325-331.
Upper and lower bounds on the optimal mean square error combined with perturbation methods are used to show that, in the case of WNL, the Kalman filter ...
A lower bound on the minimal mean-square error in estimating nonlinear diffusion processes is derived. The bound holds for causal and noncausal filtering.
asymptotic upper and lower bounds for the optimal filter errors ... We show that the filtering covariance matrix for NAR processes is given to leading.
Zakai, M., and Ziv, J.: 1972, “Lower and Upper Bounds on Optimal Filtering Error of Certain Diffusion Processes”, IEEE Trans. Inf. Th., IT-18, pp. 325–331.
recommended in the case of observations from diffusion processes, ... estimators which are asymptotically minimax and state upper risk bounds. Section 5.
The optimal nonlinear filtering of certain vector-valued diffusion processes embedded in white noise is considered. We derive upper and lower bounds on the...