Upper and lower bounds and asymptotics of the optimal filtering error of a stationary process with a small information rate

zbMATH Open0963.62086MaRDI QIDQ1290831FDOQ1290831

Authors: M. S. Pinsker, V. V. Prelov 

Publication date: 5 July 2001

Published in: Problems of Information Transmission (Search for Journal in Brave)

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zbMATH Keywords

mean-square erroroptimal filtering error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cited In (3)

• Error covariance bounds for suboptimal filters with Lipschitzian drift and Poisson-sampled measurements
• Rate distortion lower bound for a special class of nonlinear estimation problems
• Optimal filtering of discrete-time linear stationary processes under high signal-to-noise ratio conditions

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