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Estimation Error and differential entropy

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Theorem
InfoTheory

For any random variable XX and estimator X^\hat{X}, E[(Xāˆ’X^)2]≄12Ļ€ee2h[X]E\left[ (X-\hat{X})^{2} \right]\ge \frac{1}{2\pi e}e^{2h[X]}with equality if and only if XX is Gaussian and X^=E[X]\hat{X}=E_{}\left[ X \right].

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