## closed form expression for Rényi entropy for multivariate Gaussian distributions

Is there any closed form expression for Rényi entropy of a set variables with multivariate Gaussian distribution?

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Yes. First, do a change of variable in the integral to convert it to the Renyi entropy of a set of uncorrelated Gaussians with standard deviation $1$. The integral now splits into a product of 1-dimensional integrals, where each one is the Renyi entropy of a 1-dimensional Gaussian.
 If $X$ is $\mathcal{N}(\mu, K)$ random vector then $K$ can be written as $K=U\Lambda U^T$ where $\Lambda$ is a diagonal matrix with the eigen values of $K$ and $U$ is orthonormal. If we define $Y=U^T(X-\mu)$, then $Y$ is a Gaussian vector of independent random variables with mean $0$ and covariance matrix $\Lambda$. Do you mean to say that Renyi entropy of $X$ is equal to The Renyi entropy of $Y$? – Ashok Sep 29 2011 at 5:12 Yes. Just use the definition of Renyi entropy and do the change of variables. – Deane Yang Sep 29 2011 at 14:33