Performance Bounds for Parameter Estimation under Misspecified Models: Fundamental findings and applications

Inferring information from a set of acquired data is the main objective of any signal processing (SP) method. In particular, the common problem of estimating the value of a vector of parameters from a set of noisy measurements is at the core of a plethora of scientific and technological advances in the last decades; for example, wireless communications, radar and sonar, biomedicine, image processing, and seismology, just to name a few. Developing an estimation algorithm often begins by assuming a statistical model for the measured data, i.e. a probability density function (pdf) which if correct, fully characterizes the behaviour of the collected data/measurements. Experience with real data, however, often exposes the limitations of any assumed data model since modelling errors at some level are always present. Consequently, the true data model and the model assumed to derive the estimation algorithm could differ. When this happens, the model is said to be mismatched or misspecified. Therefore, understanding the possible performance loss or regret that an estimation algorithm could experience under model misspecification is of crucial importance for any SP practitioner. Further, understanding the limits on the performance of any estimator subject to model misspecification is of practical interest. Motivated by the widespread and practical need to assess the performance of a mismatched estimator, the goal of this paper is to help to bring attention to the main theoretical findings on estimation theory, and in particular on lower bounds under model misspecification, that have been published in the statistical and econometrical literature in the last fifty years. Secondly, some applications are discussed to illustrate the broad range of areas and problems to which this framework extends, and consequently the numerous opportunities available for SP researchers.Comment: To appear in the IEEE Signal Processing Magazin

MiniMax Affine Estimation of Parameters of Multiple Damped Complex Exponentials

Multiple damped complex exponentials are of great practical importance as they are useful for describing many technological situations. Several estimators have been developed for the parameters of these complex exponentials. In this paper, we apply the MiniMax affine estimator to this problem in order to obtain a better performance (in terms of the mean squared error) than other unbiased estimators. Through simulations, this estimator is shown to have a reduced mean squared error, especially for the adverse case of lower signal-to-noise ratio. Additionally, a closed form expression for the MiniMax affine estimator is presented.Sociedad Argentina de Informática e Investigación Operativ

Asymptotic Performance for Delayed Exponential Process

International audienceThe damped and delayed sinusoidal (DDS) model can be defined as the sum of sinusoids whose waveforms can be damped and delayed. This model is suitable for compactly modeling short time events. This property is closely related to its ability to reduce the time-support of each sinusoidal component. In this correspondence, we derive exact and approximate asymptotic Cramér–Rao bounds (CRBs) for the DDS model. This analysis shows that this model has better, or at least similar, theoretical performance than the well-known exponentially damped sinusoidal (EDS) model. In particular, the performance in the DDS case is significantly improved compared to that of the EDS for closely spaced sinusoids thanks to the nonzero time delays. Consequently, we can exploit the advantageous properties of the DDS model and, in the same time, we can keep high theoretical model parameter estimation accuracy

Approximate Gaussian conjugacy: parametric recursive filtering under nonlinearity, multimodality, uncertainty, and constraint, and beyond

Since the landmark work of R. E. Kalman in the 1960s, considerable efforts have been devoted to time series state space models for a large variety of dynamic estimation problems. In particular, parametric filters that seek analytical estimates based on a closed-form Markov–Bayes recursion, e.g., recursion from a Gaussian or Gaussian mixture (GM) prior to a Gaussian/GM posterior (termed ‘Gaussian conjugacy’ in this paper), form the backbone for a general time series filter design. Due to challenges arising from nonlinearity, multimodality (including target maneuver), intractable uncertainties (such as unknown inputs and/or non-Gaussian noises) and constraints (including circular quantities), etc., new theories, algorithms, and technologies have been developed continuously to maintain such a conjugacy, or to approximate it as close as possible. They had contributed in large part to the prospective developments of time series parametric filters in the last six decades. In this paper, we review the state of the art in distinctive categories and highlight some insights that may otherwise be easily overlooked. In particular, specific attention is paid to nonlinear systems with an informative observation, multimodal systems including Gaussian mixture posterior and maneuvers, and intractable unknown inputs and constraints, to fill some gaps in existing reviews and surveys. In addition, we provide some new thoughts on alternatives to the first-order Markov transition model and on filter evaluation with regard to computing complexity

Noise-Enhanced and Human Visual System-Driven Image Processing: Algorithms and Performance Limits

This dissertation investigates the problem of image processing based on stochastic resonance (SR) noise and human visual system (HVS) properties, where several novel frameworks and algorithms for object detection in images, image enhancement and image segmentation as well as the method to estimate the performance limit of image segmentation algorithms are developed. Object detection in images is a fundamental problem whose goal is to make a decision if the object of interest is present or absent in a given image. We develop a framework and algorithm to enhance the detection performance of suboptimal detectors using SR noise, where we add a suitable dose of noise into the original image data and obtain the performance improvement. Micro-calcification detection is employed in this dissertation as an illustrative example. The comparative experiments with a large number of images verify the efficiency of the presented approach. Image enhancement plays an important role and is widely used in various vision tasks. We develop two image enhancement approaches. One is based on SR noise, HVS-driven image quality evaluation metrics and the constrained multi-objective optimization (MOO) technique, which aims at refining the existing suboptimal image enhancement methods. Another is based on the selective enhancement framework, under which we develop several image enhancement algorithms. The two approaches are applied to many low quality images, and they outperform many existing enhancement algorithms. Image segmentation is critical to image analysis. We present two segmentation algorithms driven by HVS properties, where we incorporate the human visual perception factors into the segmentation procedure and encode the prior expectation on the segmentation results into the objective functions through Markov random fields (MRF). Our experimental results show that the presented algorithms achieve higher segmentation accuracy than many representative segmentation and clustering algorithms available in the literature. Performance limit, or performance bound, is very useful to evaluate different image segmentation algorithms and to analyze the segmentability of the given image content. We formulate image segmentation as a parameter estimation problem and derive a lower bound on the segmentation error, i.e., the mean square error (MSE) of the pixel labels considered in our work, using a modified Cramér-Rao bound (CRB). The derivation is based on the biased estimator assumption, whose reasonability is verified in this dissertation. Experimental results demonstrate the validity of the derived bound

MiniMax Affine Estimation of Parameters of Multiple Damped Complex Exponentials

Multiple damped complex exponentials are of great practical importance as they are useful for describing many technological situations. Several estimators have been developed for the parameters of these complex exponentials. In this paper, we apply the MiniMax affine estimator to this problem in order to obtain a better performance (in terms of the mean squared error) than other unbiased estimators. Through simulations, this estimator is shown to have a reduced mean squared error, especially for the adverse case of lower signal-to-noise ratio. Additionally, a closed form expression for the MiniMax affine estimator is presented.Sociedad Argentina de Informática e Investigación Operativ

Geometric perspective on quantum parameter estimation

Quantum metrology holds the promise of an early practical application of quantum technologies, in which measurements of physical quantities can be made with much greater precision than what is achievable with classical technologies. In this Review, the authors collect some of the key theoretical results in quantum parameter estimation by presenting the theory for the quantum estimation of a single parameter, multiple parameters, and optical estimation using Gaussian states. The authors give an overview of results in areas of current research interest, such as Bayesian quantum estimation, noisy quantum metrology, and distributed quantum sensing. The authors address the question of how minimum measurement errors can be achieved using entanglement as well as more general quantum states. This review is presented from a geometric perspective. This has the advantage that it unifies a wide variety of estimation procedures and strategies, thus providing a more intuitive big picture of quantum parameter estimation