A Kullback-Leibler Divergence Variant of the Bayesian Cramér-Rao Bound

This paper proposes a Bayesian Cramér-Rao type lower bound on the minimum mean square error. The key idea is to minimize the latter subject to the constraint that the joint distribution of the input-output statistics lies in a Kullback–Leibler divergence ball centered at a Gaussian reference distribution. The bound is tight and is attained by a Gaussian distribution whose mean is identical to that of the reference distribution and whose covariance matrix is determined by a scalar parameter that can be obtained by finding the unique root of a simple function. Examples of applications in signal processing and information theory illustrate the usefulness of the proposed bound in practice.