Consider the problem of approximating a continuous analog signal with a discrete digital signal . To do this, we may divide the range of into discrete intervals, , , etc. Then, if takes on a value in the interval , we assign the value to the discrete signal (predictor) , and so on for the other intervals.

Suppose that is distributed on according to the PDF . If we discretize by picking , and , how should we pick and to generate the best predictor of (that is, to minimize ?


In this case, what is the expectation?

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