Some classes of global Cramér-Rao bounds

DOI10.1214/AOS/1176350602MaRDI QIDQ1101155zbMATH OpenOpenAlexFDO

Authors Moshe Zakai, B. Z. Bobrovsky, Eddy Mayer-Wolf

Publication date 1987

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176350602

zbMATH Keywords

Cramér-Rao type boundsestimation error

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Estimation and detection in stochastic control theory (93E10)

Review text

Cramér-Rao type bounds for the estimation error of a parameter in a Bayesian set-up introduced by \textit{H. L. Van Trees} [Detection, estimation and modulation theory, I. (1968; Zbl 0202.180)] proved useful in various stochastic communication and control problems. The present paper addresses basically two issues. The first deals with a comparison of the tightness of several different versions of the mentioned bound in the multivariate case. The second introduces several useful generalizations of the original version of the bound.

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