Accession Number:

ADA125723

Title:

Performance Bounds in Robust Filtering and Smoothing.

Descriptive Note:

Technical rept.,

Corporate Author:

CONNECTICUT UNIV STORRS DEPT OF ELECTRICAL ENGINEERING AND COMPUTER SCIENCE

Personal Author(s):

Report Date:

1982-10-20

Pagination or Media Count:

43.0

Abstract:

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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE