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Recent Results on Bayesian Cramer-Rao Bounds for Jump Markov Systems
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
Middle East Technical University, Turkey.
Chalmers University of Technology, Sweden.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, Faculty of Science & Engineering.
2016 (English)In: Proc. 19th International Conference on Information Fusion (FUSION), 2016, 512-520 p.Conference paper (Refereed)
Abstract [en]

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.

Place, publisher, year, edition, pages
2016. 512-520 p.
Keyword [en]
Computational modeling, Mathematical model, Markov processes, Approximation algorithms, Bayes methods, Monte Carlo methods, Cramer-Rao bounds
National Category
Signal Processing
Identifiers
URN: urn:nbn:se:liu:diva-130902OAI: oai:DiVA.org:liu-130902DiVA: diva2:956487
Conference
19th International Conference on Information Fusion (FUSION), Heidelberg, Germany, July 05-08, 2016
Funder
eLLIIT - The Linköping‐Lund Initiative on IT and Mobile Communications
Available from: 2016-08-30 Created: 2016-08-30 Last updated: 2016-08-31

Open Access in DiVA

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Type fulltextMimetype application/pdf

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Fritsche, CarstenGustafsson, Fredrik
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Automatic ControlFaculty of Science & Engineering
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ReferencesLink to record
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