The constrained misspecified Cramér-Rao bound

The aim of this letter is to provide a constrained version of the misspecified Cramér-Rao bound (MCRB). Specifically, the MCRB is a lower bound on the error covariance matrix of any unbiased (in a proper sense) estimator of a deterministic parameter vector under misspecified models, i.e., when the true and the assumed data distributions are different. Here, we aim at finding an expression of the MCRB for estimation problems involving continuously differentiable equality constraints. Our proof generalizes the derivation of the classical constrained CRB (CCRB) by showing that the constrained MCRB (CMCRB) can be obtained by exploiting the building blocks of its unconstrained counterpart and a basis of the null space of the constraint's Jacobian matrix. The conditions for the existence of the CMCRB are also discussed.