Distance-based and continuum Fano inequalities with applications to statistical estimation

In this technical note, we give two extensions of the classical Fano inequality in information theory. The first extends Fano’s inequality to the setting of estimation, providing lower bounds on the probability that an estimator of a discrete quantity is within some distance t of the quantity. The second inequality extends our bound to a continuum setting and provides a volume-based bound. We illustrate how these inequalities lead to direct and simple proofs of several statistical minimax lower bounds.