Biased Cramer-Rao Lower Bound Calculations for Inequality-Constrained Estimators (Preprint)
Abstract
Unbiased Cramer-Rao lower bound (CRB) theory can be used to calculate lower bounds to the variances of unbiased estimates of a set of parameters given only the probability density function of a random vector conditioned on the true parameter values. However, when the estimated parameter values are required to satisfy inequality constraints such as positivity, the resulting estimator is typically biased. To calculate CRBs for biased estimates of the parameter values, an expression for the bias gradient matrix must also be known. Unfortunately, this expression often does not exist. Because expressions for biased CRBs are preferable to sample variances calculations, alternate methods for deriving biased CRB expressions associated with inequality constraints are needed. Here we present an alternate approach that is biased upon creating the probability density function associated with a given biased estimate of these parameters using the available knowledge of estimator properties. We apply this approach to the calculations of biased CRBs for estimators that use a positivity constraint for a specific measurement model and discuss the benefits and limitations of this approach.
Document Details
- Document Type
- Technical Report
- Publication Date
- Sep 01, 2006
- Accession Number
- ADA472497
Entities
People
- Alim Haji
- Charles Matson
Organizations
- Air Force Research Laboratory