Fundamental Limitations in Sequential Prediction and Recursive Algorithms: Lp Bounds via an Entropic Analysis

In this paper, we obtain fundamental ${\mathcal{L}_p}$ bounds in sequential prediction and recursive algorithms via an entropic analysis. Both classes of problems are examined by investigating the underlying entropic relationships of the data and/or noises involved, and the derived lower bounds may all be quantified in a conditional entropy characterization. We also study the conditions to achieve the generic bounds from an innovations’ viewpoint.