Some relations between mutual information and estimation error in Wiener space
نویسندگان
چکیده
منابع مشابه
SOME RELATIONS BETWEEN MUTUAL INFORMATION AND ESTIMATION ERROR IN WIENER SPACE By Eddy Mayer-Wolf1 and Moshe Zakai Technion
The model considered is that of “signal plus white noise.” Known connections between the noncausal filtering error and mutual information are combined with new ones involving the causal estimation error, in a general abstract setup. The results are shown to be invariant under a wide class of causality patterns; they are applied to the derivation of the causal estimation error of a Gaussian nons...
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Abstract—I present several new relations between mutual information (MI) and statistical estimation error for a system that can be regarded simultaneously as a communication channel and as an estimator of an input parameter. I first derive a secondorder result between MI and Fisher information (FI) that is valid for sufficiently narrow priors, but arbitrary channels. A second relation furnishes...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2007
ISSN: 1050-5164
DOI: 10.1214/105051607000000131