Information-Preserving Transformations for Signal Parameter Estimation

Abstract

The problem of parameter estimation from large noisy data is considered. If the observation size N is large, the calculation of efficient estimators is computationally expensive. Further, memory can be a limiting factor in technical systems where data is stored for later processing. Here we follow the idea of reducing the size of the observation by projecting the data onto a subspace of smaller dimension M ≪ N, but with the highest possible informative value regarding the estimation problem. Under the assumption that a prior distribution of the parameter is available and the output size is fixed to M, we derive a characterization of the Pareto-optimal set of linear transformations by using a weighted form of the Bayesian Cramer-Rao lower bound (BCRLB) which stands in relation to the expected value of the Fisher information measure. Satellite-based positioning is discussed as a possible application. Here N must be chosen large in order to compensate for low signal-to-noise ratios (SNR). For different values of M, we visualize the information-loss and show by simulation of the MAP estimator the potential accuracy when operating on the reduced data.