A General Derivative Identity for the Conditional Mean Estimator in Gaussian Noise and Some Applications

TL;DR

This paper introduces a unifying derivative identity for the conditional mean in Gaussian noise, generalizes existing identities, and explores applications such as estimator error distribution and empirical Bayes estimators.

Contribution

It derives a general derivative identity for the conditional mean in Gaussian noise and uses it to unify and extend several known identities with new applications.

Findings

Unified derivative identity for conditional mean in Gaussian noise

Simplified proofs of existing identities like Hatsel and Nolte, Jaffer's recursive identity

Derived new connections between derivatives of conditional expectation and conditional cumulants

Abstract

Consider a channel ${\bf Y}={\bf X}+ {\bf N}$ where ${\bf X}$ is an $n$-dimensional random vector, and ${\bf N}$ is a Gaussian vector with a covariance matrix ${\bf \mathsf{K}}_{\bf N}$. The object under consideration in this paper is the conditional mean of ${\bf X}$ given ${\bf Y}={\bf y}$, that is ${\bf y} \to E[{\bf X}|{\bf Y}={\bf y}]$. Several identities in the literature connect $E[{\bf X}|{\bf Y}={\bf y}]$ to other quantities such as the conditional variance, score functions, and higher-order conditional moments. The objective of this paper is to provide a unifying view of these identities. In the first part of the paper, a general derivative identity for the conditional mean is derived. Specifically, for the Markov chain ${\bf U} \leftrightarrow {\bf X} \leftrightarrow {\bf Y}$, it is shown that the Jacobian of $E[{\bf U}|{\bf Y}={\bf y}]$ is given by ${\bf \mathsf{K}}_{{\bf N}}^{-1} {\bf Cov} ( {\bf X}, {\bf U} | {\bf Y}={\bf y})$. In the second part of the paper, via various choices of ${\bf U}$, the new identity is used to generalize many of the known identities and derive some new ones. First, a simple proof of the Hatsel and Nolte identity for the conditional variance is shown. Second, a simple proof of the recursive identity due to Jaffer is provided. Third, a new connection between the conditional cumulants and the conditional expectation is shown. In particular, it is shown that the $k$-th derivative of $E[X|Y=y]$ is the $(k+1)$-th conditional cumulant. The third part of the paper considers some applications. In a first application, the power series and the compositional inverse of $E[X|Y=y]$ are derived. In a second application, the distribution of the estimator error $(X-E[X|Y])$ is derived. In a third application, we construct consistent estimators (empirical Bayes estimators) of the conditional cumulants from an i.i.d. sequence $Y_1,...,Y_n$.