Some relations between mutual information and estimation error on Wiener space

  title={Some relations between mutual information and estimation error on Wiener space},
  author={Eddy Mayer-Wolf and Moshe Zakai},
The model considered is that of “signal plus white noise”. Known connections between the non-causal 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 non-stationary filtering problem and to a multidimensional extension of the Yovits-Jackson formula. AMS… CONTINUE READING
9 Citations
17 References
Similar Papers


Publications referenced by this paper.
Showing 1-10 of 17 references

Mutual information and minimum mean-square error in estimation, filtering and smoothing,

  • D. Guo, S. Shamai, S. Verdú
  • IEEE Trans. Inf. Theory, IT-51,
  • 2005
3 Excerpts

Embedding the abstract Wiener space in a probability space,

  • A. S. Üstünel, M. Zakai
  • J. Func. Anal.,
  • 2000

The Construction of Filtrations on Abstract Wiener Space

  • A. S. Üstünel, M. Zakai
  • Jour. Func. Anal. 143, 10–32
  • 1997

On a formula relating the Shannon information to the Fisher information for the filtering problem

  • E. Mayer-Wolf, M. Zakai
  • Lecture Notes in Control and Information Sciences…
  • 1983

On approximating the spectrum of convolution-type operators

  • L. E. Lerer
  • 1. Wiener- Hopf matricial integral operators…
  • 1978
1 Excerpt

On approximating the spectrum of convolutiontype operators . I . Wiener – Hopf matricial integral operators

  • L. E. Lerer
  • Israel J . Math .
  • 1978

Sur un Problème de Filtration

  • P. A. Meyer
  • Séminaire de Probabilités VII, Lect. N. Math. 321…
  • 1973

Similar Papers

Loading similar papers…