Minimum mean-squared error estimation of stochastic processes by mutual entropy

DOI10.1080/00207729608929345MaRDI QIDQ3124297zbMATH OpenOpenAlexFDO

Authors Bing-Fei Wu

Publication date 6 October 1997

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207729608929345

zbMATH Keywords

error estimateestimationminimum mean-squared errormutual entropyupper bound

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10)

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Cites work

• scientific article; zbMATH DE number 4088697 (Why is no real title available?)
• scientific article; zbMATH DE number 44642 (Why is no real title available?)
• scientific article; zbMATH DE number 3281211 (Why is no real title available?)
• scientific article; zbMATH DE number 3320864 (Why is no real title available?)
• Representations of multivariate normal distributions with special correlation structures

Cited in

(5)

• Relative entropy and error bounds for filtering of Markov processes
• Fast rates of minimum error entropy with heavy-tailed noise
• An extension of the entropy theorem for parameter estimation
• Entropy and Minimal Bit Rates for State Estimation and Model Detection
• scientific article; zbMATH DE number 958375 (Why is no real title available?)

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