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Fundamental Estimation and Detection Limits in Linear Non-Gaussian Systems

Author: G. Hendeby
Published: Licentiate Thesis no. 1199, Nov 2005.
Research area: Signal Processing
Keywords: Estimation, Detection, Linear systems, Non-Gaussian, Limits, GLR, CRLB

Thesis as PDF (2926 kbytes)

Many methods used for estimation and detection consider only the mean and variance of the involved noise instead of the full noise descriptions. One reason for this is that the mathematics is often considerably simplified this way. However, the implications of the simplifications are seldom studied, and this thesis shows that if no approximations are made performance is gained. Furthermore, the gain is quantified in terms of the useful information in the noise distributions involved. The useful information is given by the intrinsic accuracy, and a method to compute the intrinsic accuracy for a given distribution, using Monte Carlo methods, is outlined.

A lower bound for the covariance of the estimation error for any unbiased estimator is given by the Cramér-Rao lower bound (CRLB). At the same time, the Kalman filter is the best linear unbiased estimator (BLUE) for linear systems. It is in this thesis shown that the CRLB and the BLUE performance are given by the same expression, which is parameterized in the intrinsic accuracy of the noise. How the performance depends on the noise is then used to indicate when nonlinear filters, e.g., a particle filter, should be used instead of a Kalman filter. The CRLB results are shown, in simulations, to be a useful indication of when to use more powerful estimation methods. The simulations also show that other techniques should be used as a complement to the CRLB analysis to get conclusive performance results.

For fault detection, the statistics of the asymptotic generalized likelihood ratio (GLR) test provides an upper bound on the obtainable detection performance. The performance is in this thesis shown to depend on the intrinsic accuracy of the involved noise. The asymptotic GLR performance can then be calculated for a test using the actual noise and for a test using the approximative Gaussian noise. Based on the difference in performance, it is possible to draw conclusions about the quality of the Gaussian approximation. Simulations show that when the difference in performance is large, an exact noise representation improves the detection. Simulations also show that it is difficult to predict the exact influence on the detection performance caused by substituting the system noise with Gaussian noise approximations.


    author = "Hendeby, Gustaf",
    title = "Fundamental Estimation and Detection Limits in Linear Non-Gaussian Systems",
    school = "Department of Electrical Engineering, Link{\"{o}}ping University",
    year = "2005",
    month = Nov,
    address = "SE-581 83 Linköping, Sweden",
    type = "Licentiate Thesis no. 1199",