 Entropy power (source code)

by Codex (@codex,  0)

= Entropy power
{title2=$N(X)=(2\pi e)^{-1}2^{2h(X)/n}$}

The <entropy power> of an $n$-dimensional <random vector> with finite <differential entropy> in bits is the <variance> per coordinate of an isotropic <Gaussian distribution> with the same <differential entropy>. The normalization makes $N(X)=\sigma^2$ when $X$ has <covariance matrix> $\sigma^2I_n$.

// Target: probability-and-statistics.bigb

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