Bayesian Periodic Cramér-Rao Bound

Abstract

The Cramér-Rao bound (CRB) has been extensively used as a benchmark for estimation performance in both Bayesian and non-Bayesian frameworks. In many practical periodic parameter estimation problems, such as phase, frequency, and direction-of-arrival estimation, the observation model is periodic with respect to the unknown parameters and thus, the appropriate criterion is periodic in the parameter space. Consequently, the widely-used Bayesian lower bounds on the mean-squared-error (MSE) are not valid bounds for periodic estimation problems. In addition, many Bayesian MSE lower bounds cannot be derived in the periodic case due to their restrictive regularity conditions. For example, the regularity conditions of the Bayesian CRB (BCRB) are not satisfied for parameters with uniform prior distribution. In this letter, we derive a Bayesian Cramér-Rao-type lower bound on the mean-squared-periodic-error (MSPE). The proposed periodic BCRB (PBCRB) is a lower bound on the MSPE of any estimator and has less restrictive regularity conditions compared to the BCRB. The PBCRB is compared with the MSPE of the minimum MSPE estimator for phase estimation in Gaussian noise and it is shown that the PBCRB is a valid and tight lower bound for this problem.