Minimum Covariance Bounds for the Fusion under Unknown Correlations

Abstract

One of the key challenges in distributed linear estimation is the systematic fusion of estimates. While the fusion gains that minimize the mean squared error of the fused estimate for known correlations have been established, no analogous statement could be obtained so far for unknown correlations. In this contribution, we derive the gains that minimize the bound on the true covariance of the fused estimate and prove that Covariance Intersection (CI) is the optimal bounding algorithm for two estimates under completely unknown correlations. When combining three or more variables, the CI equations are not necessarily optimal, as shown by a counterexample.