Information, Estimation, and Prediction for Discrete Memoryless Channels via Poissonization

Abstract

We develop information--estimation relations for an arbitrary discrete memoryless channel with finite input and output alphabets by varying the expected number of observations while keeping the channel fixed. A single hidden input is observed through a Poisson number of conditionally independent channel uses, whose mean specifies the observation budget. The derivative of mutual information with respect to this budget equals the minimum expected relative-entropy loss for estimating the input's output distribution. The posterior average of the channel's output distributions achieves this minimum and is the Bayesian predictor for the next observation. When the input distribution, the channel, or both are misspecified, the relative entropy between the true and assumed observation laws is the integral of the excess prediction loss over the budget. We also extend these relations to finite-state processes taking values in the input alphabet and observed through the channel at independent Poisson sampling times. Both in the matched setting and under model mismatch, the expected prediction loss accumulated over time using past observations equals the corresponding loss using the full observation record (noncausal estimation), averaged over lower sampling rates.