Marginal Weiss-Weinstein bounds for discrete-time filtering

Carsten Fritsche; Emre Özkan; Umut Orguner; Fredrik Gustafsson

ICASSP 2015accepted0 citations

Marginal Weiss-Weinstein bounds for discrete-time filtering

Carsten Fritsche, Emre Özkan, Umut Orguner, Fredrik Gustafsson

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.

BibTeX

@inproceedings{icassp2015_marginalweisswei,
  title = {Marginal Weiss-Weinstein bounds for discrete-time filtering},
  author = {Carsten Fritsche and Emre Özkan and Umut Orguner and Fredrik Gustafsson},
  booktitle = {ICASSP 2015},
  year = {2015}
}