Improved Bellini-Tartara lower bound for parameter estimation

Chazan-Zakai-Ziv (1975) or Bellini-Tartara (1974) lower bound on the mean-square-error (MSE) in parameter estimation is one of the tightest available bounds. It is a Bayesian bound applicable to estimation of scaler random variables with uniform prior distributions. The goal of this paper is to extend the Bellini-Tartara bound to vectors of random variables with arbitrary prior distributions and to establish a simple proof for the bound.<
>