Marginal Bayesian Bhattacharyya Bounds for Discrete-Time Filtering

Carsten Fritsche; Umut Orguner; Emre Özkan; Fredrik Gustafsson

ICASSP 2018accepted0 citations

Marginal Bayesian Bhattacharyya Bounds for Discrete-Time Filtering

Carsten Fritsche, Umut Orguner, Emre Özkan, Fredrik Gustafsson

Abstract

In this paper, marginal versions of the Bayesian Bhattacharyya lower bound (BBLB), which is a tighter alternative to the classical Bayesian Cramér- 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.

BibTeX

@inproceedings{icassp2018_marginalbayesian,
  title = {Marginal Bayesian Bhattacharyya Bounds for Discrete-Time Filtering},
  author = {Carsten Fritsche and Umut Orguner and Emre Özkan and Fredrik Gustafsson},
  booktitle = {ICASSP 2018},
  year = {2018}
}