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Definition of "Cramer-Rao bound" |
a lower bound on the estimation error covariance for unbiased estimators. In particular, the estimation error covariance Λe(x), which is a function of the unknown quantity x to be estimated, must satisfy Λe(x) ≥ I(x), where I is the Fisher information matrix. If an estimator achieves the Cramer-Rao bound with equality for all x, it is efficient; if an efficient estimator exists, it is the maximum likelihood estimator. |
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