Solved – Cramer-Rao Lower Bound for the estimation of Pearson correlation

asymptoticsestimationinformation-geometrynormal distributionunbiased-estimator

Given a bivariate Gaussian distribution $\mathcal{N}\left(0,\begin{pmatrix}
1 & \rho \\
\rho & 1
\end{pmatrix}\right)$, I am looking for information on the distribution of $\hat{\rho}$ when estimating $\rho$ on finite sample with the Pearson estimator.

Is there any known Cramer-Rao lower bound for that?

Best Answer

Yes, there is and it can be derived routinely. The Fisher Information can be shown to be

$$I(\rho) = \frac{1+\rho^2}{\left(1-\rho^2\right)^2}$$

and you know how to get the CRLB from here. The result may be arrived at simply by applying the definition of Fisher Information, i.e. start from the log likelihood

$$\log\left[ f(x;\rho) \right] =\log\left\{ \frac{1}{2\pi \sqrt{1-\rho^2}}\exp\left\{-\frac{1}{2(1-\rho^2)} \left(x^2 + y^2 - 2\rho xy \right) \right\} \right\}$$

take the derivatives and evaluate the expectation using the properties of the normal distribution. I advise you to verify it on your own.

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