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Differential entropy under the change-of-variable with additive Gaussian noise
I would like to find the differential entropy $h(X) = - \int_{\Omega} p(x) \log p(x) dx$ of the transformed $X$ with that additive noise $W$:
$$Z(\theta) = T(X; \theta) + W \\
h(Z(\theta)) = \ ? … I was wondering if there were any cool identities like the de Bruijn’s identity or the one described in this paper that could help me estimate exact entropy of $h(Z(\theta))$? …