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Bayesian Lower Bounds for Dense or Sparse (Outlier) Noise in the RMT Framework
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
Cram\'er-Rao bound (BCRB) on the amplitude parameters is 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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