An intrinsic Cramér-Rao bound on Lie groups

DOI10.1007/978-3-319-25040-3_71MaRDI QIDQ2807578zbMATH OpenOpenAlexFDO

Authors Silvère Bonnabel, Axel Barrau

Publication date 25 May 2016

Published in Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.05662

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: In his 2005 paper, S.T. Smith proposed an intrinsic Cram'er-Rao bound on the variance of estimators of a parameter defined on a Riemannian manifold. In the present technical note, we consider the special case where the parameter lives in a Lie group. In this case, by choosing, e.g., the right invariant metric, parallel transport becomes very simple, which allows a more straightforward and natural derivation of the bound in terms of Lie bracket, albeit for a slightly different definition of the estimation error. For bi-invariant metrics, the Lie group exponential map we use to define the estimation error, and the Riemannian exponential map used by S.T. Smith coincide, and we prove in this case that both results are identical indeed.

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