Date Added: Apr 2011
Consider the Minimum Mean-Square Error (MMSE) of estimating an arbitrary random variable from its observation contaminated by Gaussian noise. The MMSE can be regarded as a function of the Signal-to-Noise Ratio (SNR) as well as a functional of the input distribution (of the random variable to be estimated). It is shown that the MMSE is concave in the input distribution at any given SNR. For a given input distribution, the MMSE is found to be infinitely differentiable at all positive SNR, and in fact a real analytic function in SNR under mild conditions. The key to these regularity results is that the posterior distribution conditioned on the observation through Gaussian channels always decays at least as quickly as some Gaussian density.