Asymptotic approximation of optimal quantizers for estimation

In this paper, the asymptotic approximation of the Fisher information for the estimation of a scalar parameter based on quantized measurements is studied. As the number of quantization intervals tends to infinity, it is shown that the loss of Fisher information due to quantization decreases exponentially as a function of the number of quantization bits. The optimal quantization interval density and the corresponding maximum Fisher information are obtained. Comparison between optimal nonuniform and uniform quantization for the location estimation problem indicates that nonuniform quantization is slightly better. At the end of the paper, an adaptive algorithm for jointly estimating and setting the thresholds is used to show that the theoretical results can be approximately obtained in practice.