%0 Journal Article
%T Some relations between mutual information and estimation error in Wiener space
%A Eddy Mayer-Wolf
%A Moshe Zakai
%J Mathematics
%D 2006
%I arXiv
%R 10.1214/105051607000000131
%X 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.
%U http://arxiv.org/abs/math/0610024v2