Title :
A Numerical Method to Compute Cramer-Rao-Type Bounds for Challenging Estimation Problems
Author :
Dauwels, Justin ; Korl, Sascha
Abstract :
A numerical algorithm is proposed to compute Cramer-Rao-type bounds. The Cramer-Rao-type bounds are derived from information matrices of marginals of the joint pdf of the system at hand. The key ingredient is message-passing on a factor graph of the system. The method can be applied to a wide class of estimation problems. As an illustration, the problem of estimating the parameters of an AR model is considered
Keywords :
graph theory; matrix algebra; message passing; probability; signal processing; Cramer-Rao-type bounds; factor graph; information matrices; message-passing; Closed-form solution; Context; Estimation error; Maximum a posteriori estimation; Maximum likelihood estimation; Parameter estimation; Random variables; Signal processing; Signal processing algorithms; Sparse matrices;
Conference_Titel :
Acoustics, Speech and Signal Processing, 2006. ICASSP 2006 Proceedings. 2006 IEEE International Conference on
Conference_Location :
Toulouse
Print_ISBN :
1-4244-0469-X
DOI :
10.1109/ICASSP.2006.1661376
