Donald Trump was lagging behind in nearly all opinion polls leading up to the 2016 US presidential election, but he surprisingly won the election. This raises the following important questions: 1) why most opinion polls were not accurate in 2016? and 2) how to improve the accuracies of opinion polls? In this paper, we study the inaccuracies of opinion polls in the 2016 election through the lens of information theory. We first propose a general framework of parameter estimation, called clean sensing (polling), which performs optimal parameter estimation with sensing cost constraints, from heterogeneous and potentially distorted data sources. We then cast the opinion polling as a problem of parameter estimation from potentially distorted heterogeneous data sources, and derive the optimal polling strategy using heterogenous and possibly distorted data under cost constraints. Our results show that a larger number of data samples do not necessarily lead to better polling accuracy, which give a possible explanation of the inaccuracies of opinion polls in 2016. The optimal sensing strategy should instead optimally allocate sensing resources over heterogenous data sources according to several factors including data quality, and, moreover, for a particular data source, it should strike an optimal balance between the quality of data samples, and the quantity of data samples. As a byproduct of this research, in a general setting, we derive a group of new lower bounds on the mean-squared errors of general unbiased and biased parameter estimators. These new lower bounds can be tighter than the classical Cramér-Rao bound (CRB) and Chapman-Robbins bound. Our derivations are via studying the Lagrange dual problems of certain convex programs. The classical Cramér-Rao bound and Chapman-Robbins bound follow naturally from our results for special cases of these convex programs.