A Class of Weiss–Weinstein Bounds and Its Relationship With the Bobrovsky–Mayer-Wolf–Zakaï Bounds
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Publication:5280893
DOI10.1109/TIT.2017.2671883zbMATH Open1366.94182arXiv1610.07037MaRDI QIDQ5280893FDOQ5280893
Authors: Eric Chaumette, Alexandre Renaux, Mohammed Nabil El Korso 
Publication date: 27 July 2017
Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)
Abstract: A fairly general class of Bayesian "large-error" lower bounds of the Weiss-Weinstein family, essentially free from regularity conditions on the probability density functions support, and for which a limiting form yields a generalized Bayesian Cramer-Rao bound (BCRB), is introduced. In a large number of cases, the generalized BCRB appears to be the Bobrovsky-Mayer-Wolf-Zakai bound (BMZB). Interestingly enough, a regularized form of the Bobrovsky-Zakai bound (BZB), applicable when the support of the prior is a constrained parameter set, is obtained. Modified Weiss-Weinstein bound and BZB which limiting form is the BMZB are proposed, in expectation of an increased tightness in the threshold region. Some of the proposed results are exemplified with a reference problem in signal processing: the Gaussian observation model with parameterized mean and uniform prior.
Full work available at URL: https://arxiv.org/abs/1610.07037
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