Moment-entropy inequalities for a random vector

Erwin Lutwak New York University Deane Yang New York University Gaoyong Zhang New York University

Information Theory mathscidoc:1703.19003

IEEE Transactions on Information Theory, 53, (4), 1603–1607, 2007
The p-th moment matrix is defined for a real random vector, generalizing the classical covariance matrix. Sharp inequalities relating the p-th moment and Renyi entropy are established, generalizing the classical inequality relating the second moment and the Shannon entropy. The extremal distributions for these inequalities are completely characterized.
random vector, entropy, Renyi entropy, covari- ance, covariance matrix, moment, moment matrix, information theory, information measure
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  title={Moment-entropy inequalities for a random vector},
  author={Erwin Lutwak, Deane Yang, and Gaoyong Zhang},
  booktitle={IEEE Transactions on Information Theory},
Erwin Lutwak, Deane Yang, and Gaoyong Zhang. Moment-entropy inequalities for a random vector. 2007. Vol. 53. In IEEE Transactions on Information Theory. pp.1603–1607.
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