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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.

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multivariate distributions unaffected by unitary transformations

Hi, In my research I reached some very nice results for IID complex Gaussian vectors $\bf{x}$. Now I realize that my results hold for any random vectors that are unaffected by a unitary map, i.e., $\ …
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Differential Entropy of Random Signal

There is a another nice proof that is based on the fact that the entropy of x+y is at least the minimum of the individual entropies. Then one shows that by adding more and more terms in the summation, …
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