Fundamental performance limitations in estimation problems
Li Qiu, Zhiyuan Ren, Jie Chen · Communications in Information and Systems · 2002
In this paper, we address the performance limitation issues in estimation problems. Our purpose is to explicitly relate the best achievable estimation errors with simple plant character-istics. In particular, we study performance limitations in achieving four objectives: (1) estimating the output of an LTI system from its version corrupted by a white noise, (2) estimating a Brownian motion from its version distorted by an LTI system, (3) estimating the output of an LTI system from its version corrupted by a Brownian noise, (4) estimating a white noise from its version distorted by an LTI system.