TY - GEN
T1 - Cyclic Bayesian Cramér-Rao bound for filtering in circular state space
AU - Nitzan, Eyal
AU - Routtenberg, Tirza
AU - Tabrikian, Joseph
N1 - Publisher Copyright: © 2015 IEEE.
PY - 2015/9/14
Y1 - 2015/9/14
N2 - Mean-squared-error (MSE) lower bounds are widely used for performance analysis in stochastic filtering problems. In many problems of this type, the nature of part of the unknown state parameters is circular or periodic. In this case, we are interested in the modulo-T estimation errors and not in the plain error values. Thus, the MSE risk and conventional MSE bounds are inappropriate for periodic stochastic filtering problems. A commonly used risk for periodic parameter estimation is the mean-cyclic-error (MCE). In this paper, we derive a cyclic version of the Bayesian Cramér-Rao bound (BCRB) on the MCE of any recursive filter. The performance of the cyclic BCRB is evaluated for phase tracking and compared to the MCEs of existing filters.
AB - Mean-squared-error (MSE) lower bounds are widely used for performance analysis in stochastic filtering problems. In many problems of this type, the nature of part of the unknown state parameters is circular or periodic. In this case, we are interested in the modulo-T estimation errors and not in the plain error values. Thus, the MSE risk and conventional MSE bounds are inappropriate for periodic stochastic filtering problems. A commonly used risk for periodic parameter estimation is the mean-cyclic-error (MCE). In this paper, we derive a cyclic version of the Bayesian Cramér-Rao bound (BCRB) on the MCE of any recursive filter. The performance of the cyclic BCRB is evaluated for phase tracking and compared to the MCEs of existing filters.
KW - Bayesian Cramér-Rao bound (BCRB)
KW - Mean-squared-error (MSE) lower bounds
KW - mean-cyclic-error (MCE)
KW - periodic stochastic filtering
KW - phase tracking
UR - http://www.scopus.com/inward/record.url?scp=84960539360&partnerID=8YFLogxK
M3 - Conference contribution
T3 - 2015 18th International Conference on Information Fusion, Fusion 2015
SP - 734
EP - 741
BT - 2015 18th International Conference on Information Fusion, Fusion 2015
T2 - 18th International Conference on Information Fusion, Fusion 2015
Y2 - 6 July 2015 through 9 July 2015
ER -