MARGINAL WEISS-WEINSTEIN BOUNDS FOR DISCRETE-TIME FILTERING

Fritsche C., Ozkan E., ORGUNER U., Gustafsson F.

40th IEEE International Conference on Acoustics, Speech, and Signal Processing (ICASSP), Brisbane, Australia, 19 - 24 April 2015, pp.3487-3491 identifier identifier

  • Publication Type: Conference Paper / Full Text
  • City: Brisbane
  • Country: Australia
  • Page Numbers: pp.3487-3491
  • Middle East Technical University Affiliated: Yes

Abstract

A marginal version of the Weiss-Weinstein bound (WWB) is proposed for discrete-time nonlinear filtering. The proposed bound is calculated analytically for linear Gaussian systems and approximately for nonlinear systems using a particle filtering scheme. Via simulation studies, it is shown that the marginal bounds are tighter than their joint counterparts.