1. New alternative derivations of Cramér–Rao bound for equality‐constrained estimation.
- Author
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Li, Xi, Liu, Yi, and Yang, Le
- Subjects
- *
PARAMETER estimation , *RANDOM noise theory , *STOCHASTIC information theory , *STOCHASTIC processes , *CAUCHY sequences - Abstract
This paper presents new alternative derivations of the well‐known constrained Cramér–Rao bound for estimating parameters that satisfy a set of deterministic and differentiable equality constraints. Specifically, for unbiased parameter estimation, the equality constraints are treated as pseudo‐measurements corrupted by independent zero‐mean Gaussian noise with infinitely small covariance. In this way, the desired constrained Cramér–Rao bound can be established via utilising the property that the Fisher information matrices for independent measurements are additive. This paper also provides a new simple way for deriving the constrained Cramér–Rao bound when the parameter estimate has a specified bias through exploring that the estimation error lies in the null space of the gradient matrix of the constraints and invoking the Cauchy–Schwarz inequality. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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