Timeline for closed form expression for Rényi entropy for multivariate Gaussian distributions
Current License: CC BY-SA 3.0
3 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Sep 29, 2011 at 14:33 | comment | added | Deane Yang | Yes. Just use the definition of Renyi entropy and do the change of variables. | |
| Sep 29, 2011 at 5:12 | comment | added | Ashok | 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 $Y$? | |
| Sep 15, 2011 at 18:29 | history | answered | Deane Yang | CC BY-SA 3.0 |