Constrained Cramér-Rao Bound for Higher-Order Singular Value Decomposition

Abstract

Tensor decomposition methods for signal processing applications are an active area of research. Real data are often low-rank, noisy, and come in a higher-order format. As such, low-rank tensor approximation methods that account for the high-order structure of the data are often used for denoising. One way to represent a tensor in a low-rank form is to decompose the tensor into a set of orthonormal factor matrices and an all-orthogonal core tensor using a higher-order singular value decomposition. Under noisy measurements, the lower bound for recovering the factor matrices and the core tensor is unknown. In this paper, we exploit the well-studied constrained Cramér-Rao bound to calculate a lower bound on the mean squared error of the unbiased estimates of the components of the multilinear singular value decomposition under additive white Gaussian noise, and we validate our approach through simulations.