Bayesian Lower Bounds for Dense or Sparse (Outlier) Noise in the RMT Framework

Abstract : Robust estimation is an important and timely research subject. In this paper, we investigate performance lower bounds on the mean-square-error (MSE) of any estimator for the Bayesian linear model, corrupted by a noise distributed according to an i.i.d. Student's t-distribution. This class of prior parametrized by its degree of freedom is relevant to modelize either dense or sparse (accounting for outliers) noise. Using the hierarchical Normal-Gamma representation of the Student's t-distribution, the Van Trees' Bayesian Cramér-Rao bounds (BCRBs) on the amplitude parameters and the noise hyper-parameter are derived. Furthermore, the Random Matrix Theory (RMT) framework is assumed, i.e., the number of measurements and the number of unknown parameters grow jointly to infinity with an asymptotic finite ratio. Using some powerful results from the RMT, closed-form expressions of the BCRB are derived and studied. Finally, we propose a framework to fairly compare two models corrupted by noises with different degrees of freedom for a fixed common target signal-to-noise ratio (SNR). In particular, we focus our effort on the comparison of the BCRBs associated with two models corrupted by a sparse noise promoting outliers and a dense (Gaussian) noise, respectively.
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Virginie Ollier, Rémy Boyer, Mohammed Nabil El Korso, Pascal Larzabal. Bayesian Lower Bounds for Dense or Sparse (Outlier) Noise in the RMT Framework. 9th IEEE Sensor Array and Multichannel Signal Processing Workshop (SAM 2016), Jul 2016, Rio de Janeiro, Brazil. ⟨10.1109/sam.2016.7569694 ⟩. ⟨hal-01315978⟩

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