What is Nokia Improvement Program in the My Nokia app for Lumia phones?

In summary, the My Nokia app collects information about how you use the different features of the products and services in your device and may include:

  •  Information about Service usage contains information such as device model, operator, country, unique identifier of the device in association with a particular event of the service, such as start and stop events.
  • Error situations you may face during normal use of the device or services is detected by the program and information about what was the cause for that particular error situation is collected. No memory dumps, which might contain personal data about the particular situation, where the error occurred.

For more info: Nokia Improvement Program