Polynomial Approximations of Conditional Expectations in Scalar Gaussian Channels

Publication date 11 February 2021

Abstract: We consider a channel

Y = X + N

where

X

is a random variable satisfying

m a t h b b E [| X |] < i n f t y

and

N

is an independent standard normal random variable. We show that the minimum mean-square error estimator of

X

from

Y,

which is given by the conditional expectation

m a t h b b E [X m i d Y],

is a polynomial in

Y

if and only if it is linear or constant; these two cases correspond to

X

being Gaussian or a constant, respectively. We also prove that the higher-order derivatives of

y m a p s t o m a t h b b E [X m i d Y = y]

are expressible as multivariate polynomials in the functions

y m a p s t o m a t h b b E l e f t [l e f t (X - m a t h b b E [X m i d Y] i g h t)^{k} m i d Y = y i g h t]

for

k i n m a t h b b N .

These expressions yield bounds on the

2

-norm of the derivatives of the conditional expectation. These bounds imply that, if

X

has a compactly-supported density that is even and decreasing on the positive half-line, then the error in approximating the conditional expectation

m a t h b b E [X m i d Y]

by polynomials in

Y

of degree at most

n

decays faster than any polynomial in

n .

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