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Cramér–Rao Bounds for Filtering Based on Gaussian Process State-Space Models
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering. Ericsson.
Linköping University, Faculty of Science & Engineering. Linköping University, Department of Electrical Engineering, Automatic Control.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology. Linköping University, Faculty of Science & Engineering. Linköping University.ORCID iD: 0000-0002-1971-4295
Chinese University of Hong Kong (Shenzhen).ORCID iD: 0000-0001-5754-9246
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2019 (English)In: IEEE Transactions on Signal Processing, ISSN 1053-587X, E-ISSN 1941-0476, Vol. 67, no 23, p. 5936-5951Article in journal (Refereed) Published
Abstract [en]

Posterior Cramér-Rao bounds (CRBs) are derived for the estimation performance of three Gaussian process-based state-space models. The parametric CRB is derived for the case with a parametric state transition and a Gaussian process-based measurement model. We illustrate the theory with a target tracking example and derive both parametric and posterior filtering CRBs for this specific application. Finally, the theory is illustrated with a positioning problem, with experimental data from an office environment where the obtained estimation performance is compared to the derived CRBs.

Place, publisher, year, edition, pages
Institute of Electrical and Electronics Engineers (IEEE), 2019. Vol. 67, no 23, p. 5936-5951
Keywords [en]
Cramér-Rao bound; Gaussian process; statespace model; nonlinear estimation
National Category
Control Engineering Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-162979DOI: 10.1109/TSP.2019.2949508Scopus ID: 2-s2.0-85077773756OAI: oai:DiVA.org:liu-162979DiVA, id: diva2:1382698
Funder
ELLIIT - The Linköping‐Lund Initiative on IT and Mobile CommunicationsAvailable from: 2020-01-03 Created: 2020-01-03 Last updated: 2020-02-19Bibliographically approved

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Zhao, YuxinFritsche, CarstenHendeby, GustafYin, FengChen, TianshiGunnarsson, Fredrik
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