Relation of description rate and investment growth rate

Elza Erkip, Thomas M. Cover

Research output: Contribution to conferencePaperpeer-review

Abstract

We have shown that if one invests in the outcome of a random variable X, where investment consists of gambling at any odds, then every bit of description of X increases the doubling rate by one bit. However, if the provider of the information has access only to V, a random variable jointly distributed with X, then this maximal efficiency is not generally possible. We find the increase Δ(R) in doubling rate for a description of V at rate R for the jointly Gaussian and jointly binary cases. We investigate the extension to multivariate Gaussian random variables. We prove a general result for the derivative of Δ(R) at R = 0. We then consider the problem in which there are k separate encoders and each observers a random variable Vi correlated with X. We find how efficiently these encoders, without cooperation, help the investor who is interested in X.

Original languageEnglish (US)
Number of pages1
StatePublished - 1995
EventProceedings of the 1995 IEEE International Symposium on Information Theory - Whistler, BC, Can
Duration: Sep 17 1995Sep 22 1995

Other

OtherProceedings of the 1995 IEEE International Symposium on Information Theory
CityWhistler, BC, Can
Period9/17/959/22/95

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Information Systems
  • Modeling and Simulation
  • Applied Mathematics

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