On the Trackability of Stochastic Processes
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We consider the problem of estimating the state of a discrete stochastic process from causal knowledge of another discrete stochastic process (side information). We provide necessary conditions as well as sufficient conditions for the success of this estimation, which is defined as order m moment trackability. By-products of this study are connections between statistics of general order such as Rényi entropy, Gallager's reliability function, and the concept of anytime capacity.
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