Unbiased Estimation of a Sparse Vector in White Gaussian Noise

Abstract

The problem studied in this paper is unbiased estimation of a sparse nonrandom vector corrupted by additive white Gaussian noise. It is shown that while there are infinitely many unbiased estimators for this problem, none of them has uniformly minimum variance. Therefore, the focus is placed on locally minimum variance unbiased (LMVU) estimators. Simple closed-form lower and upper bounds on the variance of LMVU estimators or, equivalently, on the Barankin bound (BB) are derived. These bounds allow an estimation of the threshold region separating the low-signal-to-noise ratio (SNR) and high-SNR regimes, and they indicate the asymptotic behavior of the BB at high SNR. In addition, numerical lower and upper bounds are derived; these are tighter than the closed-form bounds and thus characterize the BB more accurately. Numerical studies compare the proposed characterizations of the BB with established biased estimation schemes, and demonstrate that while unbiased estimators perform poorly at low SNR, they may perform better than biased estimators at high SNR. An interesting conclusion of this analysis is that the high-SNR behavior of the BB depends solely on the value of the smallest nonzero entry of the sparse vector, and that this type of dependence is also exhibited by the performance of certain practical estimators.