MARGINAL BAYESIAN BHATTACHARYYA BOUNDS FOR DISCRETE-TIME FILTERING

Date

2018-04-20

Author

Fritsche, Carsten
Orguner, Umut
Özkan, Emre
Gustafsson, Fredrik

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In this paper, marginal versions of the Bayesian Bhattacharyya lower bound (BBLB), which is a tighter alternative to the classical Bayesian Cramer-Rao bound, for discrete-time filtering are proposed. Expressions for the second and third-order marginal BBLBs are obtained and it is shown how these can be approximately calculated using particle filtering. A simulation example shows that the proposed bounds predict the achievable performance of the filtering algorithms better.

Subject Keywords

Performance bounds, Bayesian estimation, Bhattacharyya bounds, Nonlinear filtering, Particle filter

URI

https://hdl.handle.net/11511/53245

Conference Name

IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP)

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Department of Electrical and Electronics Engineering, Conference / Seminar

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Citation Formats

C. Fritsche, U. Orguner, E. Özkan, and F. Gustafsson, “MARGINAL BAYESIAN BHATTACHARYYA BOUNDS FOR DISCRETE-TIME FILTERING,” presented at the IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), Calgary, CANADA, 2018, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/53245.