Distance measures and estimation performance bounds for continuous-time data (Corresp.)
Demetrios Kazakos · IEEE Transactions on Information Theory · 1982
Recursive expressions for certain distance measures between continuous-time stationary vector-Gaussian processes are derived and used to derive upper bounds to the mean square error performance of the Bayes and maximum-likelihood estimates of a parameter, when only a finite-valued parameter set is used. The question of convergence when the true parameter value does not belong to the finite set is also answered.