Entropy and random vectors

OT Johnson; Y Suhov

doi:10.1023/A:1010353526846

Entropy and random vectors

OT Johnson, Y Suhov

Research output: Contribution to journal › Article (Academic Journal) › peer-review

14 Citations (Scopus)

Abstract

Barron((1)) produced a proof of the Central Limit Theorem for real-valued IID random variables, in the sense of convergence in relative entropy. Here, we establish a similar result for independent real-valued random vectors, not necessarily identically distributed. The main developments required are a generalisation of De Bruijn's identity, and various inequalities proposed in ref. 2.

Translated title of the contribution	Entropy and random vectors
Original language	English
Pages (from-to)	145 - 165
Number of pages	21
Journal	Journal of Statistical Physics
Volume	104 (1-2)
DOIs	https://doi.org/10.1023/A:1010353526846
Publication status	Published - Jul 2001

Bibliographical note

Publisher: Kluwer Academic / Plenum Publ
Other identifier: IDS number 463VT

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title = "Entropy and random vectors",

abstract = "Barron((1)) produced a proof of the Central Limit Theorem for real-valued IID random variables, in the sense of convergence in relative entropy. Here, we establish a similar result for independent real-valued random vectors, not necessarily identically distributed. The main developments required are a generalisation of De Bruijn's identity, and various inequalities proposed in ref. 2.",

author = "OT Johnson and Y Suhov",

note = "Publisher: Kluwer Academic / Plenum Publ Other identifier: IDS number 463VT",

year = "2001",

month = jul,

doi = "10.1023/A:1010353526846",

language = "English",

volume = "104 (1-2)",

pages = "145 -- 165",

journal = "Journal of Statistical Physics",

issn = "1572-9613",

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T1 - Entropy and random vectors

AU - Johnson, OT

AU - Suhov, Y

N1 - Publisher: Kluwer Academic / Plenum Publ Other identifier: IDS number 463VT

PY - 2001/7

Y1 - 2001/7

N2 - Barron((1)) produced a proof of the Central Limit Theorem for real-valued IID random variables, in the sense of convergence in relative entropy. Here, we establish a similar result for independent real-valued random vectors, not necessarily identically distributed. The main developments required are a generalisation of De Bruijn's identity, and various inequalities proposed in ref. 2.

AB - Barron((1)) produced a proof of the Central Limit Theorem for real-valued IID random variables, in the sense of convergence in relative entropy. Here, we establish a similar result for independent real-valued random vectors, not necessarily identically distributed. The main developments required are a generalisation of De Bruijn's identity, and various inequalities proposed in ref. 2.

U2 - 10.1023/A:1010353526846

DO - 10.1023/A:1010353526846

M3 - Article (Academic Journal)

SN - 1572-9613

VL - 104 (1-2)

SP - 145

EP - 165

JO - Journal of Statistical Physics

JF - Journal of Statistical Physics

ER -

Entropy and random vectors

Abstract

Bibliographical note

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