BAYESIAN PARAMETER-ESTIMATION

Taking the Bayesian approach in solving the discrete-time parameter estimation problem has two major results: the unknown parameters are legitimately included as additional system states, and the computational objective becomes calculation of the entire posterior density instead of just its first few moments. This viewpoint facilitates intuitive analysis, allowing increased qualitative understanding of the system behavior. With the actual posterior density in hand, the true optimal estimate for any given loss function can be calculated. Although the computational burden of doing so might preclude online use, it does not provide a clearly justified baseline for comparative studies. These points are demonstrated by analyzing a scalar problem with a single unknown, and by comparing an established point estimator's performance to the true optimal estimate.