Abstract
AbstractThe performance of Kalman filter depends directly on the noise covariances, which are usually not known and need to be estimated. Several estimation algorithms have been published in past decades, but the measure of estimation quality is missing. Cramér-Rao bounds represent limitation of quality of parameter estimation that can be obtained from given data. In this article, Cramér-Rao bounds for noise covariance estimation of linear time-invariant stochastic system will be derived. Two different linear system models will be considered. Further, the performance of earlier published methods will be discussed according to Cramér-Rao bounds. The analogy between Cramér-Rao bounds and Riccati equation will be pointed out.
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