A lower bound on the estimation error for certain diffusion processes

  • Authors:

  • B. Bobrovsky;M. Zakai

  • Affiliations:

  • -;-

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2006

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Abstract

A lower bound on the minimal mean-square error in estimating nonlinear diffusion processes is derived. The bound holds for causal and noncausal filtering.