Communications in Information and Systems
Volume 2 (2002)
Fundamental performance limitations in estimation problems
Pages: 371 – 384
In this paper, we address the performance limitation issues in estimation problems. Our purpose is to explicitly relate the best achievable estimation errors with simple plant characteristics. In particular, we study performance limitations in achieving four objectives: (1) estimating the output of an LTI system from its version corrupted by a white noise, (2) estimating a Brownian motion from its version distorted by an LTI system, (3) estimating the output of an LTI system from its version corrupted by a Brownian noise, (4) estimating a white noise from its version distorted by an LTI system.