In estimation theory and statistics, the Cramér–Rao bound (CRB) or Cramér–Rao lower bound (CRLB), named in honor of Harald Cramér and Calyampudi Radhakrishna Rao who were among the first to derive it, expresses a lower bound on the variance of estimators of a deterministic (fixed, though unknown) parameter. The bound is also known as the Cramér–Rao inequality or the information inequality.
In its simplest form, the bound states that the variance of any unbiased estimator is at least as high as the inverse of the Fisher information. An unbiased estimator which achieves this lower bound is said to be (fully) efficient. Such a solution achieves the lowest possible mean squared error among all unbiased methods, and is therefore the minimum variance unbiased (MVU) estimator. However, in some cases, no unbiased technique exists which achieves the bound. This may occur even when an MVU estimator exists.
The Cramér–Rao bound can also be used to bound the variance of biased estimators of given bias. In some cases, a biased approach can result in both a variance and a mean squared error that are below the unbiased Cramér–Rao lower bound; see estimator bias.
The Cramer–Rao bound is stated in this section for several increasingly general cases, beginning with the case in which the parameter is a scalar and its estimator is unbiased. All versions of the bound require certain regularity conditions, which hold for most well-behaved distributions. These conditions are listed later in this section.
Scalar unbiased case
Suppose is an unknown deterministic parameter which is to be estimated from measurements , distributed according to some probability density function . The variance of any unbiased estimator of is then bounded by the reciprocal of the Fisher information :
where the Fisher information is defined by
and is the natural logarithm of the likelihood function and denotes the expected value (over ).
The efficiency of an unbiased estimator measures how close this estimator's variance comes to this lower bound; estimator efficiency is defined as
or the minimum possible variance for an unbiased estimator divided by its actual variance. The Cramér–Rao lower bound thus gives
General scalar case
A more general form of the bound can be obtained by considering an unbiased estimator of the parameter . Here, unbiasedness is understood as stating that . In this case, the bound is given by
where is the derivative of (by ), and is the Fisher information defined above.
Bound on the variance of biased estimators
Apart from being a bound on estimators of functions of the parameter, this approach can be used to derive a bound on the variance of biased estimators with a given bias, as follows. Consider an estimator with bias , and let . By the result above, any unbiased estimator whose expectation is has variance greater than or equal to . Thus, any estimator whose bias is given by a function satisfies
The unbiased version of the bound is a special case of this result, with .
It's trivial to have a small variance − an "estimator" that is constant has a variance of zero. But from the above equation we find that the mean squared error of a biased estimator is bounded by
using the standard decomposition of the MSE. Note, however, that if this bound might be less than the unbiased Cramér–Rao bound . For instance, in the example of estimating variance below, .
Extending the Cramér–Rao bound to multiple parameters, define a parameter column vector
with probability density function which satisfies the two regularity conditions below.
The Fisher information matrix is a matrix with element defined as
Let be an estimator of any vector function of parameters, , and denote its expectation vector by . The Cramér–Rao bound then states that the covariance matrix of satisfies
- The matrix inequality is understood to mean that the matrix is positive semidefinite, and
- is the Jacobian matrix whose element is given by .
If is an unbiased estimator of (i.e., ), then the Cramér–Rao bound reduces to
If it is inconvenient to compute the inverse of the Fisher information matrix, then one can simply take the reciprocal of the corresponding diagonal element to find a (possibly loose) lower bound.
The bound relies on two weak regularity conditions on the probability density function, , and the estimator :
- The Fisher information is always defined; equivalently, for all such that ,
- exists, and is finite.
- The operations of integration with respect to and differentiation with respect to can be interchanged in the expectation of ; that is,
- whenever the right-hand side is finite.
- This condition can often be confirmed by using the fact that integration and differentiation can be swapped when either of the following cases hold:
- The function has bounded support in , and the bounds do not depend on ;
- The function has infinite support, is continuously differentiable, and the integral converges uniformly for all .
Simplified form of the Fisher information
Suppose, in addition, that the operations of integration and differentiation can be swapped for the second derivative of as well, i.e.,
In this case, it can be shown that the Fisher information equals
The Cramèr–Rao bound can then be written as
In some cases, this formula gives a more convenient technique for evaluating the bound.
The following is a proof of the general scalar case of the Cramér–Rao bound described above. Assume that is an unbiased estimator for the value (based on the observations ), and so . The goal is to prove that, for all ,
Let be a random variable with probability density function . Here is a statistic, which is used as an estimator for . Define as the score:
where the chain rule is used in the final equality above. Then the expectation of , written , is zero. This is because:
where the integral and partial derivative have been interchanged (justified by the second regularity condition).
If we consider the covariance of and , we have , because . Expanding this expression we have
again because the integration and differentiation operations commute (second condition).
The Cauchy–Schwarz inequality shows that
which proves the proposition.
Multivariate normal distribution
For the case of a d-variate normal distribution
the Fisher information matrix has elements
where "tr" is the trace.
For example, let be a sample of independent observations with unknown mean and known variance .
Then the Fisher information is a scalar given by
and so the Cramér–Rao bound is
Normal variance with known mean
Suppose X is a normally distributed random variable with known mean and unknown variance . Consider the following statistic:
Then T is unbiased for , as . What is the variance of T?
(the second equality follows directly from the definition of variance). The first term is the fourth moment about the mean and has value ; the second is the square of the variance, or . Thus
Now, what is the Fisher information in the sample? Recall that the score V is defined as
where is the likelihood function. Thus in this case,
where the second equality is from elementary calculus. Thus, the information in a single observation is just minus the expectation of the derivative of V, or
Thus the information in a sample of independent observations is just times this, or
The Cramer Rao bound states that
In this case, the inequality is saturated (equality is achieved), showing that the estimator is efficient.
However, we can achieve a lower mean squared error using a biased estimator. The estimator
obviously has a smaller variance, which is in fact
Its bias is
so its mean squared error is
which is clearly less than the Cramér–Rao bound found above.
When the mean is not known, the minimum mean squared error estimate of the variance of a sample from Gaussian distribution is achieved by dividing by n + 1, rather than n − 1 or n + 2.
References and notes
- ^ Cramér, Harald (1946). Mathematical Methods of Statistics. Princeton, NJ: Princeton Univ. Press. ISBN 0-691-08004-6. OCLC 185436716.
- ^ Rao, Calyampudi Radakrishna (1945). "Information and the accuracy attainable in the estimation of statistical parameters". Bulletin of the Calcutta Mathematical Society. 37: 81–89. MR 0015748.
- ^ Rao, Calyampudi Radakrishna (1994). S. Das Gupta, ed. Selected Papers of C. R. Rao. New York: Wiley. ISBN 978-0-470-22091-7. OCLC 174244259.
- ^ For the Bayesian case, see eqn. (11) of Bobrovsky; Mayer-Wolf; Zakai (1987). "Some classes of global Cramer–Rao bounds". Ann. Stats. 15 (4): 1421–38.
- ^ Kay, S. M. (1993). Fundamentals of Statistical Signal Processing: Estimation Theory. Prentice Hall. p. 47. ISBN 0-13-042268-1.
- Bos, Adriaan van den (2007). Parameter Estimation for Scientists and Engineers. Hoboken: John Wiley & Sons. pp. 45–98. ISBN 0-470-14781-4.
- Kay, Steven M. (1993). Fundamentals of Statistical Signal Processing, Volume I: Estimation Theory. Prentice Hall. ISBN 0-13-345711-7.. Chapter 3.
- Shao, Jun (1998). Mathematical Statistics. New York: Springer. ISBN 0-387-98674-X.. Section 3.1.3.
- FandPLimitTool a GUI-based software to calculate the Fisher information and Cramer-Rao Lower Bound with application to single-molecule microscopy.