Recursive hybrid CRB for Markovian systems with time-variant measurement parameters

In statistical signal processing, hybrid parameter estimation refers to the case where the parameters vector to estimate contains both deterministic and random parameters. Lately computationally tractable hybrid Cramér-Rao lower bounds for discrete-time Markovian dynamic systems depending on unknown time invariant deterministic parameters has been released. However in many applications (radar, sonar, telecoms, ...) the unknown deterministic parameters of the measurement model are time variant which prevents from using the aforementioned bounds. It is therefore the aim of this communication to tackle this issue by introducing new computationally tractable hybrid Cramér-Rao lower bounds

Recursive joint Cramér‐Rao lower bound for parametric systems with two‐adjacent‐states dependent measurements

Joint Cramér-Rao lower bound (JCRLB) is very useful for the performance evaluation of joint state and parameter estimation (JSPE) of non-linear systems, in which the current measurement only depends on the current state. However, in reality, the non-linear systems with two-adjacent-states dependent (TASD) measurements, that is, the current measurement is dependent on the current state as well as the most recent previous state, are also common. First, the recursive JCRLB for the general form of such non-linear systems with unknown deterministic parameters is developed. Its relationships with the posterior CRLB for systems with TASD measurements and the hybrid CRLB for regular parametric systems are also provided. Then, the recursive JCRLBs for two special forms of parametric systems with TASD measurements, in which the measurement noises are autocorrelated or cross-correlated with the process noises at one time step apart, are presented, respectively. Illustrative examples in radar target tracking show the effectiveness of the JCRLB for the performance evaluation of parametric TASD systems