Some relations between mutual information and estimation error on Wiener space

@inproceedings{MayerWolf2006SomeRB,
  title={Some relations between mutual information and estimation error on Wiener space},
  author={Eddy Mayer-Wolf and Moshe Zakai},
  year={2006}
}
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
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