A Numerical Method to Compute Cramer-Rao-Type Bounds for Challenging Estimation Problems

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