Communications in Information and Systems

Volume 2 (2002)

Number 4

Fundamental performance limitations in estimation problems

Pages: 371 – 384

DOI: http://dx.doi.org/10.4310/CIS.2002.v2.n4.a3

Authors

Li Qiu (Department of Electrical and Electronic Engineering, Hong Kong University of Science and Technology, Kowloon, Hong Kong)

Zhiyuan Ren (Department of Electrical & Computer Engineering, Carnegie Mellon University, Pittsburgh, Pennsylvania, U.S.A.)

Jie Chen (Department of Electrical Engineering, University of California at Riverside)

Abstract

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.

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