CramerRao.h File Reference

PosteriorCramerRaoBound: the Fisher information of the state along true trajectories, whose inverse bounds the mean squared error of any filter run on them (decisions.md [cramer-rao-bound]). More...

#include <expected>
#include <type_traits>
#include <utility>
#include <Eigen/Cholesky>
#include <EmrysFilter/Core/Execution.h>
#include <EmrysFilter/Core/Forwarding.h>
#include <EmrysFilter/Core/Macros.h>
#include <EmrysFilter/Core/Math.h>
#include <EmrysFilter/Core/Multiply.h>
#include <EmrysFilter/Core/Solve.h>
#include <EmrysFilter/Core/Time.h>
#include <EmrysFilter/Distributions/Gaussian.h>
#include <EmrysFilter/Distributions/Moments.h>
#include <EmrysFilter/Models/FormSteps.h>
#include <EmrysFilter/Models/Measurement.h>
#include <EmrysFilter/Models/ProcessModel.h>
#include <EmrysFilter/Models/Transform.h>
#include <EmrysFilter/Spaces/Indexing.h>
#include <EmrysFilter/Spaces/Space.h>

Go to the source code of this file.

Classes
class	Emrys::PosteriorCramerRaoBound< Space_, Scalar_ >
	The posterior Cramér-Rao bound along true trajectories: the Fisher information \( J_k \) of the state, whose inverse bounds the mean squared error of any estimator of \( x_k \). More...

Detailed Description

PosteriorCramerRaoBound: the Fisher information of the state along true trajectories, whose inverse bounds the mean squared error of any filter run on them (decisions.md [cramer-rao-bound]).

Its steps take the true states that simulate() draws, as nees() and NeesMonitor do. Read Consistency.h next.