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Limitations of state estimation: absolute lower bound of minimum variance estimation/filtering, Gaussianity-whiteness measure (joint Shannon-Wiener entropy), and Gaussianing-whitening filter (maximum Gaussianity-whiteness measure principle) (1411.0825v3)
Published 4 Nov 2014 in cs.SY, cs.IT, math.IT, and math.OC
Abstract: This paper aims at obtaining performance limitations of state estimation in terms of variance minimization (minimum variance estimation and filtering) using information theory. Two new notions, negentropy rate and Gaussianity-whiteness measure (joint Shannon-Wiener entropy), are proposed to facilitate the analysis. Topics such as Gaussianing-whitening filter (the maximum Gaussianity-whiteness measure principle) are also discussed.