Particle filtering for Quantized Innovations

In this paper, we re-examine the recently proposed distributed state estimators based on quantized innovations. It is widely believed that the error covariance of the Quantized Innovation Kalman filter follows a modified Riccati recursion. We present stable linear dynamical systems for which this is violated and the filter diverges. We propose a Particle Filter that approximates the optimal nonlinear filter and observe that the error covariance of the Particle Filter follows the modified Riccati recursion. We also simulate a Posterior Cramer-Rao bound (PCRB) for this filtering problem.