Information Geometric Approach to Bayesian Lower Error Bounds

Abstract

Information geometry describes a framework where probability densities can be viewed as differential geometry structures. This approach has shown that the geometry in the space of probability distributions that are parameterized by their covariance matrices is linked to the fundamental concepts of estimation theory. In particular, prior work proposes a Riemannian metric - the distance between the parameterized probability distributions - that is equivalent to the Fisher Information Matrix, and helpful in obtaining the deterministic Cramér-Rao lower bound (CRLB). Recent work in this framework has led to establishing links with several practical applications. However, classical CRLB is useful only for unbiased estimators and inaccurately predicts the mean square error in low signal-to-noise (SNR) scenarios. In this paper, we propose a general Riemannian metric that, at once, is used to obtain both Bayesian CRLB and deterministic CRLB along with their vector parameter extensions. We also extend our results to the Barankin bound, thereby enhancing their applicability to low SNR situations. © 2018 IEEE.