Two lower bounds on the covariance for nonlinear filtering problems
C. Chang · 1980
Two covariance lower bounds for nonlinear filtering problems are presented in this paper. These bounds are based upon the Cramer-Rao bound for treating nuisance parameters. The tightness of these bounds are examined using a nonlinear system where the recursive equation for covariance computation can be obtained. These results are also compared with the bound of Bobrovsky and Zakai.