On the Relationship between Mutual Information and Minimum Mean-Square Errors in Stochastic Dynamical Systems
| dc.creator | Piera, Francisco J. | |
| dc.creator | Parada, Patricio | |
| dc.date | 2007-10-05 | |
| dc.date.accessioned | 2026-07-07T08:34:27Z | |
| dc.date.available | 2026-07-07T08:34:27Z | |
| dc.description | We consider a general stochastic input-output dynamical system with output evolving in time as the solution to a functional coefficients, Itô's stochastic differential equation, excited by an input process. This general class of stochastic systems encompasses not only the classical communication channel models, but also a wide variety of engineering systems appearing through a whole range of applications. For this general setting we find analogous of known relationships linking input-output mutual information and minimum mean causal and non-causal square errors, previously established in the context of additive Gaussian noise communication channels. Relationships are not only established in terms of time-averaged quantities, but also their time-instantaneous, dynamical counterparts are presented. The problem of appropriately introducing in this general framework a signal-to-noise ratio notion expressed through a signal-to-noise ratio parameter is also taken into account, identifying conditions for a proper and meaningful interpretation. | |
| dc.description | Submitted to IEEE Transactions on Information Theory | |
| dc.identifier | https://arxiv.org/abs/0710.1280 | |
| dc.identifier | http://arxiv.org/abs/0710.1280 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/139439 | |
| dc.subject | Information Theory | |
| dc.title | On the Relationship between Mutual Information and Minimum Mean-Square Errors in Stochastic Dynamical Systems | |
| dc.type | text |