The Marginal Bayesian Cramér–Rao Bound for Jump Markov Systems

Abstract

In this letter, numerical algorithms for computing the marginal version of the Bayesian Cramér-Rao bound (M-BCRB) for jump Markov nonlinear systems and jump Markov linear Gaussian systems are proposed. Benchmark examples for both systems illustrate that the M-BCRB is tighter than three other recently proposed BCRBs. Index TermsJump Markov nonlinear systems, Bayesian Cramér-Rao bound, particle filter, Rao-Blackwellization, statistical signal processing.