Learned Generative Misspecified Lower Bound

Hai Victor Habi, Hagit Messer, Yoram Bresler

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

The Misspecified Cramér-Rao lower bound (MCRB) provides a lower bound on the performance of any unbiased estimator of parameter vector θ under model misspecification. An approximation of the MCRB can be numerically evaluated using a set of i.i.d samples of the true distribution at θ. However, obtaining a good approximation for multiple values of θ requires collocating an unrealistically large number of samples. In this paper, we present a method for approximating the MCRB using a Generative Model, referred to as a Generative Misspecified Lower Bound (GMLB), in which we train a generative model on data from the true measurement distribution. Then, the generative model can generate as many samples as required for any θ, and therefore the GMLB can use a limited set of training data to achieve an excellent approximation of the MCRB for any parameter. We demonstrate the GMLB on two examples: a misspecified Linear Gaussian model; and a Non-Linear Truncated Gaussian model. In both cases, we empirically show the benefits of the GMLB in accuracy and sample complexity. In addition, we show the ability of the GMLB to approximate the MCRB on unseen parameters.

Original languageEnglish
Title of host publicationICASSP 2023 - 2023 IEEE International Conference on Acoustics, Speech and Signal Processing, Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
ISBN (Electronic)9781728163277
DOIs
StatePublished - 2023
Externally publishedYes
Event48th IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2023 - Rhodes Island, Greece
Duration: 4 Jun 202310 Jun 2023

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume2023-June
ISSN (Print)1520-6149

Conference

Conference48th IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2023
Country/TerritoryGreece
CityRhodes Island
Period4/06/2310/06/23

Bibliographical note

Publisher Copyright:
© 2023 IEEE.

Keywords

  • Estimation
  • Generative model
  • MCRB
  • Misspecified Model
  • Normalizing Flow

Cite this