On mutual information, likelihood ratios, and estimation error for the additive Gaussian channel

This paper considers the model of an arbitrarily 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 noncausal estimator and the likelihood ratio between y and w are derived. This is followed by an exten...

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Veröffentlicht in:IEEE transactions on information theory 2005-09, Vol.51 (9), p.3017-3024
1. Verfasser: Zakai, M.
Format: Artikel
Sprache:eng
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Zusammenfassung:This paper considers the model of an arbitrarily 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 noncausal estimator and the likelihood ratio between y and w 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. A comparison between the causal and noncausal estimation errors yields a restricted form of the logarithmic Sobolev inequality. The derivation of the results is based on the Malliavin calculus
ISSN:0018-9448
1557-9654
DOI:10.1109/TIT.2005.853297