A class of Weiss-Weinstein bounds and its relationship with the Bobrovsky-Mayer-Wolf-Zakai bounds

A fairly general class of Bayesian ”large-error” lower bounds of the Weiss-Weinstein family, essentially free from regularity conditions on the probability density functions support, and for which a limiting form yields a generalized Bayesian Cramér-Rao bound (BCRB), is introduced. In a large number of cases, the generalized BCRB appears to be the Bobrovsky-Mayer-Wolf-Zakai bound (BMZB). Interestingly enough, a regularized form of the Bobrovsky-Zakai bound (BZB), applicable when the support of the prior is a constrained parameter set, is obtained. Modified Weiss-Weinstein bound and BZB which limiting form is the BMZB are proposed, in expectation of an increased tightness in the threshold region. Some of the proposed results are exemplified with a reference problem in signal processing: the Gaussian observation model with parameterized mean and uniform prior. Index Terms Performance analysis, Bayesian bound, parameter estimation.