LEstimation: On the Optimality of Linear Estimators

Leighton Pate Barnes, Alex Dytso, Jingbo Liu, H. Vincent Poor

Abstract: Consider the problem of estimating a random variable X from noisy observations $Y = X+ Z$ , where Z is standard normal, under the $L^{1}$ fidelity criterion. It is well known that the optimal Bayesian estimator in this setting is the conditional median. This work shows that the only prior distribution on X that induces linearity in the conditional median is Gaussian. Along the way, several other results are presented. In particular, it is demonstrated that if the conditional distribution $P_{X|Y=y}$ is symmetric for all y, then X must follow a Gaussian distribution. Additionally, we consider other $L^{p}$ losses and observe the following phenomenon: for $p \in [{1,2}]$ , Gaussian is the only prior distribution that induces a linear optimal Bayesian estimator, and for $p \in (2,\infty)$ , infinitely many prior distributions on X can induce linearity. Finally, extensions are provided to encompass noise models leading to conditional distributions from certain exponential families.