The Marginal Enumeration Bayesian Cramér–Rao Bound for Jump Markov Systems

A marginal version of the enumeration Bayesian Cramér-Rao Bound (EBCRB) for jump Markov systems is proposed. It is shown that the proposed bound is at least as tight as EBCRB and the improvement stems from better handling of the nonlinearities. The new bound is illustrated to yield tighter results than BCRB and EBCRB on a benchmark example.