Related papers: An MMSE Lower Bound via Poincar\'e Inequality
Low-rank pseudoinverses are widely used to approximate matrix inverses in scalable machine learning, optimization, and scientific computing. However, real-world matrices are often observed with noise, arising from sampling, sketching, and…
To date most linear and nonlinear Kalman filters (KFs) have been developed under the Gaussian assumption and the well-known minimum mean square error (MMSE) criterion. In order to improve the robustness with respect to impulsive (or…
Several proofs of the monotonicity of the non-Gaussianness (divergence with respect to a Gaussian random variable with identical second order statistics) of the sum of n independent and identically distributed (i.i.d.) random variables were…
Reduced-rank approach has been used for decades in robust linear estimation of both deterministic and random vector of parameters in linear model y=Hx+\sqrt{epsilon}n. In practical settings, estimation is frequently performed under…
Suppose a linear model y = Hx + n, where inputs x, n are independent Gaussian mixtures. The problem is to design the transfer matrix H so as to minimize the mean square error (MSE) when estimating x from y. This problem has important…
We consider mean squared estimation with lookahead of a continuous-time signal corrupted by additive white Gaussian noise. We show that the mutual information rate function, i.e., the mutual information rate as function of the…
In this paper, an approximation recursive formula of the mean-square error lower bound for the discrete-time nonlinear filtering problem when noises of dynamic systems are temporally correlated is derived based on the Van Trees (posterior)…
We consider the problem of estimating an unknown signal $x_0$ from noisy linear observations $y = Ax_0 + z\in R^m$. In many practical instances, $x_0$ has a certain structure that can be captured by a structure inducing convex function…
A new outer bound on the capacity region of Gaussian interference channels is developed. The bound combines and improves existing genie-aided methods and is shown to give the sum-rate capacity for noisy interference as defined in this…
In this paper, online linear regression in environments corrupted by non-Gaussian noise (especially heavy-tailed noise) is addressed. In such environments, the error between the system output and the label also does not follow a Gaussian…
This paper focuses on the minimum mean squared error (MMSE) channel estimator for multiple-input multiple-output (MIMO) systems with one-bit quantization at the receiver side. Despite its optimality and significance in estimation theory,…
We consider unbiased estimation of a sparse nonrandom vector corrupted by additive white Gaussian noise. We show that while there are infinitely many unbiased estimators for this problem, none of them has uniformly minimum variance.…
Estimation under model misspecification arises in many signal processing problems, where the assumed observation model deviates from the true data-generating mechanism due to errors or simplifications. The misspecified Cram\'er-Rao bound…
In this paper, we study a generalized Kalman-Bucy filtering problem under uncertainty. The drift uncertainty for both signal process and observation process is considered and the attitude to uncertainty is characterized by a convex operator…
In this work, we show that for all statistical estimation problems, a natural MMSE instability (discontinuity) condition implies the failure of stable algorithms, serving as a version of OGP for estimation tasks. Using this criterion, we…
This paper considers probabilistic estimation of a low-rank matrix from non-linear element-wise measurements of its elements. We derive the corresponding approximate message passing (AMP) algorithm and its state evolution. Relying on…
A general class of Bayesian lower bounds when the underlying loss function is a Bregman divergence is demonstrated. This class can be considered as an extension of the Weinstein--Weiss family of bounds for the mean squared error and relies…
We are motivated by problems that arise in a number of applications such as Online Marketing and Explosives detection, where the observations are usually modeled using Poisson statistics. We model each observation as a Poisson random…
In random parameter estimation, Bayesian lower bounds (BLBs) for the mean-square error have been noticed to not be tight in a number of cases, even when the sample size, or the signal-to-noise ratio, grow to infinity. In this paper, we…
In this paper, we generalize the fundamental relation between the derivative of the mutual information and the minimum mean squared error (MMSE) to multiuser setups. We prove that the derivative of the mutual information with respect to the…