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Exploring estimator bias-variance tradeoffs using the uniform CR bound

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3 Author(s)
Hero, A.O. ; Dept. of Electr. Eng. & Comput. Sci., Michigan Univ., Ann Arbor, MI, USA ; Fessler, J.A. ; Usman, M.

We introduce a plane, which we call the delta-sigma plane, that is indexed by the norm of the estimator bias gradient and the variance of the estimator. The norm of the bias gradient is related to the maximum variation in the estimator bias function over a neighborhood of parameter space. Using a uniform Cramer-Rao (CR) bound on estimator variance, a delta-sigma tradeoff curve is specified that defines an “unachievable region” of the delta-sigma plane for a specified statistical model. In order to place an estimator on this plane for comparison with the delta-sigma tradeoff curve, the estimator variance, bias gradient, and bias gradient norm must be evaluated. We present a simple and accurate method for experimentally determining the bias gradient norm based on applying a bootstrap estimator to a sample mean constructed from the gradient of the log-likelihood. We demonstrate the methods developed in this paper for linear Gaussian and nonlinear Poisson inverse problems

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Signal Processing, IEEE Transactions on  (Volume:44 ,  Issue: 8 )