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.
Bibliographical notePublisher: Kluwer Academic / Plenum Publ
Other identifier: IDS number 463VT