  In this paper, we analyze the impact of compressed sensing with complex
random matrices on Fisher information and the Cram\'{e}r-Rao Bound (CRB) for
estimating unknown parameters in the mean value function of a complex
multivariate normal distribution. We consider the class of random compression
matrices whose distribution is right-orthogonally invariant. The compression
matrix whose elements are i.i.d. standard normal random variables is one such
matrix. We show that for all such compression matrices, the Fisher information
matrix has a complex matrix beta distribution. We also derive the distribution
of CRB. These distributions can be used to quantify the loss in CRB as a
function of the Fisher information of the non-compressed data. In our numerical
examples, we consider a direction of arrival estimation problem and discuss the
use of these distributions as guidelines for choosing compression ratios based
on the resulting loss in CRB.
