TY - GEN
T1 - Improvements on the Cramer-Rao bound
AU - Pillai, S. Unnikrishna
AU - Sinha, Nikhileshwar D.
PY - 1991
Y1 - 1991
N2 - In the context of nonrandom parameter estimation from a finite set of observations, the situation associated with weak Cramer-Rao bounds is addressed. It is shown that it is possible to improve the Cramer-Rao bound by incorporating higher-order derivatives of the joint probability density function (pdf) such that the sequence (of bounds) so generated converges to a definite limit. The limit so obtained is shown to coincide with the variance of the actual uniformly minimum variance unbiased estimator (UMVUE) for this parameter, provided the underlying pdf is of the Korpman-Darmois exponential family. This technique also provides a constructive procedure to evaluate the UMVUE for any unknown parameter (or its functions) contained in the data. From a practical standpoint this is useful, since this procedure only involves the first-/and higher-order derivatives of the joint pdf and their cross covariance.
AB - In the context of nonrandom parameter estimation from a finite set of observations, the situation associated with weak Cramer-Rao bounds is addressed. It is shown that it is possible to improve the Cramer-Rao bound by incorporating higher-order derivatives of the joint probability density function (pdf) such that the sequence (of bounds) so generated converges to a definite limit. The limit so obtained is shown to coincide with the variance of the actual uniformly minimum variance unbiased estimator (UMVUE) for this parameter, provided the underlying pdf is of the Korpman-Darmois exponential family. This technique also provides a constructive procedure to evaluate the UMVUE for any unknown parameter (or its functions) contained in the data. From a practical standpoint this is useful, since this procedure only involves the first-/and higher-order derivatives of the joint pdf and their cross covariance.
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M3 - Conference contribution
AN - SCOPUS:0026376920
SN - 078030033
T3 - Proceedings - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing
SP - 3565
EP - 3568
BT - Proceedings - ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing
PB - Publ by IEEE
T2 - Proceedings of the 1991 International Conference on Acoustics, Speech, and Signal Processing - ICASSP 91
Y2 - 14 May 1991 through 17 May 1991
ER -