{
  "id": "math/0610024",
  "version": "v2",
  "published": "2006-09-30T16:25:35.000Z",
  "updated": "2007-07-31T13:00:01.000Z",
  "title": "Some relations between mutual information and estimation error in Wiener space",
  "authors": [
    "Eddy Mayer-Wolf",
    "Moshe Zakai"
  ],
  "comment": "Published at http://dx.doi.org/10.1214/105051607000000131 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)",
  "journal": "Annals of Applied Probability 2007, Vol. 17, No. 3, 1102-1116",
  "doi": "10.1214/105051607000000131",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2007-07-31T13:00:01.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G35",
      "94A17",
      "28C20",
      "60H35"
    ],
    "keywords": [
      "mutual information",
      "wiener space",
      "causal estimation error",
      "signal plus white noise",
      "gaussian nonstationary filtering problem"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2006math.....10024M"
    }
  }
}