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dc.contributor.authorWu, BFen_US
dc.date.accessioned2014-12-08T15:02:13Z-
dc.date.available2014-12-08T15:02:13Z-
dc.date.issued1996-12-01en_US
dc.identifier.issn0020-7721en_US
dc.identifier.urihttp://hdl.handle.net/11536/909-
dc.description.abstractAn upper bound on the con elation coefficients in terms of the mutual entropy is developed for a general estimation problem. This upper bound may be reached by means of a nonlinear transformation such that, after the transformation, the processes are jointly gaussian. In order to minimize globally the mean-squared estimation error, we use an approach based on the Calculus of Variations to find the vector nonlinear functions whose elements turn out to be the eigenfunctions of two vector integral operators that could be concurrently solved from two vector integral equations. The relationship between the minimum mean-squared error (MMSE) and the mutual entropy is discussed. Since the MMSE error is linear with the number of experimental data, we consider the mutual entropy rate, which is the average of the mutual entropy, to evaluate she average MMSE error. This rate is related to the average MMSE error and it is show that a mutual entropy rate of 0.5 is the critical threshold for the MMSE problem. Moreover, given a correlation coefficient, ergodic and jointly gaussian signals can be generated easily by computer. An approach to create these signals is also presented.en_US
dc.language.isoen_USen_US
dc.titleMinimum mean-squared error estimation of stochastic processes by mutual entropyen_US
dc.typeArticleen_US
dc.identifier.journalINTERNATIONAL JOURNAL OF SYSTEMS SCIENCEen_US
dc.citation.volume27en_US
dc.citation.issue12en_US
dc.citation.spage1391en_US
dc.citation.epage1402en_US
dc.contributor.department交大名義發表zh_TW
dc.contributor.department電控工程研究所zh_TW
dc.contributor.departmentNational Chiao Tung Universityen_US
dc.contributor.departmentInstitute of Electrical and Control Engineeringen_US
dc.identifier.wosnumberWOS:A1996WB66200021-
dc.citation.woscount0-
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