Rethinking Biased Estimation: Improving Maximum Likelihood and the Cramér–Rao Bound
Foundations and Trends in Signal Processing
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A new linear estimator is proposed, which we refer to as the covariance shaping least-squares (CSLS) estimator, for estimating a set of unknown deterministic parameters, x, observed through a known linear transformation H and corrupted by additive noise. The CSLS estimator is a biased estimator directed at improving the performance of the traditional least-squares (LS) estimator by choosing the estimate of x to minimize the (weighted) total error variance in the observations subject to a constraint on the covariance of the estimation error so that we control the dynamic range and spectral shape of the covariance of the estimation error. The presented CSLS estimator is shown to achieve the Cramer-Rao lower bound for biased estimators. Furthermore, analysis of the mean-squared error (MSE) of both the CSLS estimator and the LS estimator demonstrates that the covariance of the estimation error can be chosen such that there is a threshold SNR below which the CSLS estimator yields a lower MSE than the LS estimator for all values of x. As we show, some of the well-known modifications of the LS estimator can be formulated as CSLS estimators. This allows us to interpret these estimators as the estimators that minimize the total error variance in the observations, among all linear estimators with the same covariance.