ProofComplete

Proof of the Cramer-Rao Lower Bound

We prove the Cramer-Rao inequality, establishing the fundamental limit on the precision of unbiased estimators.


Proof

Theorem (Cramer-Rao): If θ^\hat{\theta} is an unbiased estimator of θ\theta and the regularity conditions hold, then Var⁡(θ^)≥1/(nI(θ))\operatorname{Var}(\hat{\theta}) \geq 1/(nI(\theta)).

Step 1: The score function.

Define the score function Sn(θ)=∂∂θlog⁡L(θ)=∑i=1n∂∂θlog⁡f(Xi;θ)S_n(\theta) = \frac{\partial}{\partial \theta} \log L(\theta) = \sum_{i=1}^n \frac{\partial}{\partial \theta} \log f(X_i; \theta).

The score has mean zero: E[Sn(θ)]=E[∂∂θlog⁡L(θ)]=∫∂∂θf(x;θ) 1f(x;θ)⋅f(x;θ) dx=∂∂θ∫f(x;θ) dx=∂∂θ1=0E[S_n(\theta)] = E\left[\frac{\partial}{\partial \theta} \log L(\theta)\right] = \int \frac{\partial}{\partial \theta} f(\mathbf{x}; \theta)\, \frac{1}{f(\mathbf{x};\theta)} \cdot f(\mathbf{x};\theta)\,d\mathbf{x} = \frac{\partial}{\partial \theta} \int f(\mathbf{x};\theta)\,d\mathbf{x} = \frac{\partial}{\partial \theta} 1 = 0

where we used the regularity condition to interchange differentiation and integration.

The variance of the score is the Fisher information: Var⁡(Sn(θ))=E[Sn(θ)2]=nI(θ)\operatorname{Var}(S_n(\theta)) = E[S_n(\theta)^2] = nI(\theta)

Step 2: Covariance calculation.

Since θ^\hat{\theta} is unbiased, E[θ^]=θE[\hat{\theta}] = \theta for all θ\theta. Differentiating both sides with respect to θ\theta: ∂∂θE[θ^]=1\frac{\partial}{\partial \theta} E[\hat{\theta}] = 1

∂∂θ∫θ^(x)f(x;θ) dx=∫θ^(x)∂f∂θ(x;θ) dx\frac{\partial}{\partial \theta} \int \hat{\theta}(\mathbf{x}) f(\mathbf{x}; \theta)\,d\mathbf{x} = \int \hat{\theta}(\mathbf{x}) \frac{\partial f}{\partial \theta}(\mathbf{x}; \theta)\,d\mathbf{x}

=∫θ^(x)∂log⁡f∂θ(x;θ)f(x;θ) dx=E[θ^⋅Sn(θ)]= \int \hat{\theta}(\mathbf{x}) \frac{\partial \log f}{\partial \theta}(\mathbf{x}; \theta) f(\mathbf{x}; \theta)\,d\mathbf{x} = E[\hat{\theta} \cdot S_n(\theta)]

Since E[Sn]=0E[S_n] = 0: Cov⁡(θ^,Sn)=E[θ^⋅Sn]−E[θ^]⋅E[Sn]=1−θ⋅0=1\operatorname{Cov}(\hat{\theta}, S_n) = E[\hat{\theta} \cdot S_n] - E[\hat{\theta}] \cdot E[S_n] = 1 - \theta \cdot 0 = 1

Step 3: Apply the Cauchy-Schwarz inequality.

By the Cauchy-Schwarz inequality: [Cov⁡(θ^,Sn)]2≤Var⁡(θ^)⋅Var⁡(Sn)[\operatorname{Cov}(\hat{\theta}, S_n)]^2 \leq \operatorname{Var}(\hat{\theta}) \cdot \operatorname{Var}(S_n)

1=12≤Var⁡(θ^)⋅nI(θ)1 = 1^2 \leq \operatorname{Var}(\hat{\theta}) \cdot nI(\theta)

Therefore: Var⁡(θ^)≥1nI(θ)\operatorname{Var}(\hat{\theta}) \geq \frac{1}{nI(\theta)}

Step 4: Equality condition.

Equality in Cauchy-Schwarz holds if and only if θ^−θ=c⋅Sn(θ)\hat{\theta} - \theta = c \cdot S_n(\theta) for some constant cc (not depending on x\mathbf{x}). This occurs precisely when the score is a linear function of θ^\hat{\theta}, which is characteristic of exponential family distributions. □\square

■

RemarkExtension to biased estimators

For a biased estimator θ^\hat{\theta} with E[θ^]=g(θ)E[\hat{\theta}] = g(\theta), the Cramer-Rao bound becomes Var⁡(θ^)≥[g′(θ)]2/(nI(θ))\operatorname{Var}(\hat{\theta}) \geq [g'(\theta)]^2 / (nI(\theta)). The proof is identical except Cov⁡(θ^,Sn)=g′(θ)\operatorname{Cov}(\hat{\theta}, S_n) = g'(\theta) instead of 11.