Extensions of the I-MMSE Relation

TL;DR

This paper extends the fundamental I-MMSE relation to Gaussian channels with feedback and memory, broadening its theoretical scope and practical applications in information and estimation theory.

Contribution

It introduces new extensions of the I-MMSE relation applicable to channels with feedback and memory, using a simple, versatile approach.

Findings

Extended I-MMSE relations for channels with feedback

Unified proof of de Bruijn's identity

Broadened applicability of I-MMSE in complex channels

Abstract

Unveiling a fundamental link between information theory and estimation theory, the I-MMSE relation by Guo, Shamai and Verdu~\cite{gu05}, together with its numerous extensions, has great theoretical significance and various practical applications. On the other hand, its influences to date have been restricted to channels without feedback or memory, due to the absence of its extensions to such channels. In this paper, we propose extensions of the I-MMSE relation to discrete-time and continuous-time Gaussian channels with feedback and/or memory. Our approach is based on a very simple observation, which can be applied to other scenarios, such as a simple and direct proof of the classical de Bruijn's identity.