On performance limitations in estimation
Two results on signal estimation are obtained. Theorem 1 relates the performance limitation in estimating a signal from its corrupted version by a white noise to the antistable modes of the signal. The best achievable directional steady state error variance depends on the directional characteristics of the antistable modes. Theorem 2 relates the performance limitation in estimating a Brownian motion from its version distorted by an LTI system to the nonminimum phase zeros of the system, as well as their directional properties. The results are based on the transfer matrix factorization. For the entire collection see [Zbl 0918.00041].
- Fundamental performance limitations in estimation problems
- Limiting performance of optimal linear discrete filters
- Min- max linear estimation of band-limited sequences in the presence of random noise (Corresp.)
- Minimax estimation of continuous time deterministic signals in colored noise
- Limiting performance of optimal linear filters
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