The Annals of Applied Probability

Some relations between mutual information and estimation error in Wiener space

Eddy Mayer-Wolf and Moshe Zakai

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The model considered is that of “signal plus white noise.” Known connections between the noncausal 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 nonstationary filtering problem and to a multidimensional extension of the Yovits–Jackson formula.

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Ann. Appl. Probab. Volume 17, Number 3 (2007), 1102-1116.

First available in Project Euclid: 22 May 2007

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Zentralblatt MATH identifier

Primary: 60G35: Signal detection and filtering [See also 62M20, 93E10, 93E11, 94Axx] 94A17: Measures of information, entropy
Secondary: 28C20: Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) [See also 46G12, 58C35, 58D20, 60B11] 60H35: Computational methods for stochastic equations [See also 65C30]

Estimation errors mutual information abstract Wiener space resolution of identity causality


Mayer-Wolf, Eddy; Zakai, Moshe. Some relations between mutual information and estimation error in Wiener space. Ann. Appl. Probab. 17 (2007), no. 3, 1102--1116. doi:10.1214/105051607000000131.

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