BibTeX
@MISC{Dauwels_computingbayesian,
author = {Justin Dauwels},
title = {Computing Bayesian Cramér-Rao bounds},
year = {}
}
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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.
