Computing Bayesian Cramer-Rao bounds

Justin Dauwels

Abstract: An efficient message-passing algorithm for computing the Bayesian Cramer-Rao bound (BCRB) for general estimation problems is presented. The BCRB is a lower bound on the mean squared estimation error. The algorithm operates on a cycle-free factor graph of the system at hand. It can be applied to estimation in (1) general state-space models; (2) coupled state-space models and other systems that are most naturally represented by cyclic factor graphs; (3) coded systems