An MMSE Lower Bound via Poincaré Inequality

Document Type

Conference Proceeding

Publication Date

1-1-2022

Abstract

This paper studies the minimum mean squared error (MMSE) of estimating X ∈ ℝd from the noisy observation Y ∈ ℝk, under the assumption that the noise (i.e., Y|X) is a member of the exponential family. The paper provides a new lower bound on the MMSE. Towards this end, an alternative representation of the MMSE is first presented, which is argued to be useful in deriving closed-form expressions for the MMSE. This new representation is then used together with the Poincaré inequality to provide a new lower bound on the MMSE. Unlike, for example, the Cramér-Rao bound, the new bound holds for all possible distributions on the input X. Moreover, the lower bound is shown to be tight in the high-noise regime for the Gaussian noise setting under the assumption that X is sub-Gaussian. Finally, several numerical examples are shown which demonstrate that the bound performs well in all noise regimes.

Identifier

85136311954 (Scopus)

ISBN

[9781665421591]

Publication Title

IEEE International Symposium on Information Theory Proceedings

External Full Text Location

https://doi.org/10.1109/ISIT50566.2022.9834639

ISSN

21578095

First Page

957

Last Page

962

Volume

2022-June

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