Pointwise Relations Between Information and Estimation in Gaussian Noise

Many of the classical and recent relations between information and estimation in the presence of Gaussian noise can be viewed as identities between expectations of random quantities. These include the relationship between mutual information and minimum mean square error (I-MMSE) of Guo ; the relative entropy and mismatched estimation relationship of Verdú; the relationship between causal estimation and mutual information of Duncan, and its extension to the presence of feedback by Kadota ; the relationship between causal and non-casual estimation of Guo , and its mismatched version of Weissman. We dispense with the expectations and explore the nature of the pointwise relations between the respective random quantities. The pointwise relations that we find are as succinctly stated as-and give considerable insight into-the original expectation identities. As an illustration of our results, consider Duncan's 1970 discovery that the mutual information is equal to the causal MMSE in the additive white Gaussian noise channel, which can equivalently be expressed saying that the difference between the input-output information density and half the causal estimation error is a zero-mean random variable (regardless of the distribution of the channel input). We characterize this random variable explicitly, rather than merely its expectation. Classical estimation and information theoretic quantities emerge with new and surprising roles. For example, the variance of this random variable turns out to be given by the causal MMSE (which, in turn, is equal to twice the mutual information by Duncan's result).