Bounds on inference

Abstract

Lower bounds for the average probability of error of estimating a hidden variable X given an observation of a correlated random variable Y, and Fano's inequality in particular, play a central role in information theory. In this paper, we present a lower bound for the average estimation error based on the marginal distribution of X and the principal inertias of the joint distribution matrix of X and Y. Furthermore, we discuss an information measure based on the sum of the largest principal inertias, called k-correlation, which generalizes maximal correlation. We show that k-correlation satisfies the Data Processing Inequality and is convex in the conditional distribution of Y given X. Finally, we investigate how to answer a fundamental question in inference and privacy: given an observation Y, can we estimate a function f(X) of the hidden random variable X with an average error below a certain threshold? We provide a general method for answering this question using an approach based on rate-distortion theory.