Abstract
The minimal mean square error for the scalar, standard non-linear filtering problem is considered. Asymptotic lower and upper bounds on the error are derived for the case where the intensity of the observation noise tends to zero.
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© 1981 D. Reidel Publishing Company
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Bobrovsky, B.Z., Zakai, M. (1981). Asymptotic Bounds on the Minimal Error of Non-Linear Filtering. In: Hazewinkel, M., Willems, J.C. (eds) Stochastic Systems: The Mathematics of Filtering and Identification and Applications. NATO Advanced Study Institutes Series, vol 78. Springer, Dordrecht. https://doi.org/10.1007/978-94-009-8546-9_29
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DOI: https://doi.org/10.1007/978-94-009-8546-9_29
Publisher Name: Springer, Dordrecht
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