Evaluating the Bayesian Cramér-Rao Bound for multiple model filtering
Paper in proceedings, 2009

We propose a numerical algorithm to evaluate the Bayesian Cramer-Rao bound (BCRB) for multiple model filtering problems. It is assumed that the individual models have additive Gaussian noise and that the measurement model is linear. The algorithm is also given in a recursive form, making it applicable for sequences of arbitrary length. Previous attempts to calculate the BCRB for multiple model filtering problems are based on rough approximations which usually make them simple to calculate. In this paper, we propose an algorithm which is based on Monte Carlo sampling, and which is hence more computationally demanding, but yields accurate approximations of the BCRB. An important observation from the simulations is that the BCRB is more overoptimistic than previously suggested bounds, which we motivate using theoretical results.

non-linear filtering

multiple model filtering

BCRB

Performance bounds

PCRLB

BFG

IMM

Author

Lennart Svensson

Chalmers, Signals and Systems, Signalbehandling och medicinsk teknik, Signal Processing

Proceedings of the 12th International Conference on Information Fusion

1775-1782

Subject Categories

Signal Processing

Other Electrical Engineering, Electronic Engineering, Information Engineering

More information

Created

10/8/2017