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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

4 votes
1 answer
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Bounding Entropy in terms of KL-Divergence

Let $h(X)$ be the differential entropy of a continuous random variable $X$ with density $f$, and let $Y$ be another continuous random variable with density $g$. If $KL(X\mid\mid Y)$ is the Kullback-L …
Ben Charrow's user avatar