Performance Bounds in Robust Filtering and Smoothing.
CONNECTICUT UNIV STORRS DEPT OF ELECTRICAL ENGINEERING AND COMPUTER SCIENCE
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Filtering and smoothing within a convex and closed family of stationary processes is considered. The performance criterion adopted is the mean square error. Using a saddle point game approach, we develop two classes of lower bounds for this error. Those bounds can be used as evaluation measure in the design of robust filters and smoothers. Author
- Statistics and Probability