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Register a new userLikelihood ratios and Bayesian inference for Poisson channels
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Added by
Anthony R\\'eveillac
Publication date
2009
fields
Informatics Engineering
and research's language is
English
Authors
Anthony Reveillac
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In recent years, infinite-dimensional methods have been introduced for the Gaussian channels estimation. The aim of this paper is to study the application of similar methods to Poisson channels. In particular we compute the Bayesian estimator of a Poisson channel using the likelihood ratio and the discrete Malliavin gradient. This algorithm is suitable for numerical implementation via the Monte-Carlo scheme. As an application we provide an new proof of the formula obtained recently by Guo, Shamai and Verduu relating some derivatives of the input-output mutual information of a time-continuous Poisson channel and the conditional mean estimator of the input. These results are then extended to mixed Gaussian-Poisson channels.
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