On the stability of Bayes estimators for Gaussian processes
Abstract
We consider the Bayes estimator delta 0 for a Gaussian signal process observed in the presence of additive Gaussian noise under contamination of the signal or noise by QN-laws. Upper bounds on the increase in the mean square error of delta 0 over the minimum possible mean square error under contaminated noise or contaminated signal are given. It is shown that the performance of delta 0 is relatively close to optimal for small amounts of contamination.
- Publication:
-
NASA STI/Recon Technical Report N
- Pub Date:
- September 1982
- Bibcode:
- 1982STIN...8319988M
- Keywords:
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- Bayes Theorem;
- Estimating;
- Random Processes;
- Signal Processing;
- Hilbert Space;
- Kalman Filters;
- Probability Distribution Functions;
- Random Noise;
- Root-Mean-Square Errors;
- Communications and Radar