A variational interpretation of the Cramér–Rao bound
Document Type
Article
Publication Date
5-1-2021
Abstract
It is shown that both the classic and the Bayesian Cramér–Rao bounds can be obtained by minimizing the mean square error of an estimator while constraining the underlying distribution to be within a Fisher information ball. The presented results allow for some nonstandard interpretations of the Cramér–Rao bound and, more importantly, provide a template for novel bounds on the accuracy of estimators.
Identifier
85098451069 (Scopus)
Publication Title
Signal Processing
External Full Text Location
https://doi.org/10.1016/j.sigpro.2020.107917
ISSN
01651684
Volume
182
Grant
1908308
Fund Ref
National Science Foundation
Recommended Citation
Fauß, Michael; Dytso, Alex; and Poor, H. Vincent, "A variational interpretation of the Cramér–Rao bound" (2021). Faculty Publications. 4140.
https://digitalcommons.njit.edu/fac_pubs/4140
