Parametric Cramer-Rao lower bounds (CRLBs) are given for discrete-time systems with non-zero process noise. Recursive expressions for the conditional bias and mean-square-error (MSE) (given a specific state sequence) are obtained for Kalman filter estimating the states of a linear Gaussian system. It is discussed that Kalman filter is conditionally biased with a non-zero process noise realization in the given state sequence. Recursive parametric CRLBs are obtained for biased estimators for linear state estimators of linear Gaussian systems. Simulation studies are conducted where it is shown that Kalman filter is not an efficient estimator in a conditional sense.