Some relations between mutual information and estimation error in wiener space

• 成果类型: Article
• 署名作者: Mayer-Wolf, Eddy; Zakai, Moshe
• 署名单位: Technion Israel Institute of Technology; Technion Israel Institute of Technology
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051607000000131
• 发表日期: 2007
• 页码: 1102-1116
• 关键词: gaussian-channel

摘要

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 nonstationary filtering problem and to a multidimensional extension of the Yovits-Jackson formula.