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Recent Results on Bayesian Cramer-Rao Bounds for Jump Markov Systems

C. Fritsche ; U. Orguner ; Lennart Svensson (Institutionen för signaler och system ; Institutionen för signaler och system, Signalbehandling) ; F. Gustafsson
2016 19th International Conference on Information Fusion (Fusion) p. 512-520. (2016)
[Konferensbidrag, refereegranskat]

In this paper, recent results on the evaluation of the Bayesian Cramer-Rao bound for jump Markov systems are presented. In particular, previous work is extended to jump Markov systems where the discrete mode variable enters into both the process and measurement equation, as well as where it enters exclusively into the measurement equation. Recursive approximations are derived with finite memory requirements as well as algorithms for checking the validity of these approximations are established. The tightness of the bound and the validity of its approximation is investigated on a couple of examples.

Nyckelord: Filter, State, Computer Science, Engineering, Computational modeling, Mathematical model, Markov processes, Approximation algorithms, Bayes methods, Monte Carlo methods, Cramer-Rao bounds



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Denna post skapades 2017-02-17.
CPL Pubid: 248207