A new interpretation on the MMSE as a robust MEE criterion

The minimum mean-square error (MMSE) and minimum error entropy (MEE) are two important criteria in the estimation related problems. The MMSE can be viewed as a robust MEE criterion in the minimax sense, as its minimization is equivalent to minimizing an upper bound (the maximum value) of the error entropy. This note gives a new and more meaningful interpretation on the robustness of MMSE for problems in which there exists uncertainty in the probability model. It is shown that the MMSE estimator imposes an upper bound on error entropy for the true model. The upper bound consists of two terms. The first term quantifies the “MMSE performance” under nominal conditions, and the second term measures the “distance” between the true and nominal models. This robustness property is parallel to that of the risk-sensitive estimation. Illustration examples are included to confirm the robustness of MMSE.