Computing Bayesian Cramér-Rao bounds

Abstract

Abstract — An efficient message-passing algorithm for computing the Bayesian Cramér-Rao bound (BCRB) for general estimation problems is presented. The BCRB is a lower bound on the mean squared estimation error. The algorithm operates on a cycle-free factor graph of the system at hand. It can be applied to estimation in (1) general state-space models; (2) coupled state-space models and other systems that are most naturally represented by cyclic factor graphs; (3) coded systems. I

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oai:CiteSeerX.psu:10.1.1.399.3443Last time updated on 10/22/2014

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