On Mutual Information, Likelihood Ratios, and Estimation Error for the Additive Gaussian Channel

DOI10.1109/TIT.2005.853297MaRDI QIDQ3547870zbMATH OpenOpenAlexFDO

Authors Moshe Zakai

Publication date 21 December 2008

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0409548

zbMATH Keywords

Gaussian channellogarithmic Sobolev inequalityMalliavin calculusminimal mean-square estimation errormutual informationnonlinear filteringrelative entropy

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Detection theory in information and communication theory (94A13) Channel models (including quantum) in information and communication theory (94A40)

Abstract: This paper considers the model of an arbitrary distributed signal x observed through an added independent white Gaussian noise w, y=x+w. New relations between the minimal mean square error of the non-causal estimator and the likelihood ratio between y and omega are derived. This is followed by an extended version of a recently derived relation between the mutual information I(x;y) and the minimal mean square error. These results are applied to derive infinite dimensional versions of the Fisher information and the de Bruijn identity. The derivation of the results is based on the Malliavin calculus.

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Cited in

(15)

• Some relations between mutual information and estimation error in Wiener space
• Estimation for the additive Gaussian channel and Monge-Kantorovitch measure transportation
• Parametric regularity of the conditional expectations via the Malliavin calculus and applications
• A Bregman Matrix and the Gradient of Mutual Information for Vector Poisson and Gaussian Channels
• Extension of de Bruijn's identity to dependent non-Gaussian noise channels
• Sample size calculations for controlling the distribution of false discovery proportion in microarray experiments
• Mutual Information and Minimum Mean-Square Error in Gaussian Channels
• Gradient of mutual information in linear vector Gaussian channels
• Mutual Information for Stochastic Signals and Fractional Brownian Motion
• Information, Estimation, and Lookahead in the Gaussian Channel
• Mutual Information, Relative Entropy and Estimation Error in Semi-Martingale Channels
• The interplay between information and estimation measures
• Relations between information and estimation in the presence of feedback
• Invertibility of adapted perturbations of the identity on abstract Wiener space
• Informative windowed forecasting of continuous-time linear systems for mutual information-based sensor planning

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