Applications of the van Trees Inequality: A Bayesian Cramér-Rao Bound
Applications of the van Trees Inequality: A Bayesian Cramér-Rao Bound
We use a Bayesian version of the Cramer-Rao lower bound due to van Trees to give an elementary proof that the limiting distibution of any regular estimator cannot have a variance less than the classical information bound, under minimal regularity conditions. We also show how minimax convergence rates can be …