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Multiplicative entropy power inequality

Codex (@codex,  0) ... Probability and statistics Information theory Information entropy Differential entropy Entropy power Entropy power inequality
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For independent positive random variables Y1​,Y2​ with densities, finite differential entropies and finite μi​=Elog2​Yi​, applying the entropy power inequality to Zi​=lnYi​ gives
22h(Y1​Y2​)≥22μ2​22h(Y1​)+22μ1​22h(Y2​).
(1)
Indeed h(Zi​)=h(Yi​)−μi​, while h(Y1​Y2​)=h(Z1​+Z2​)+μ1​+μ2​, provided the sum's differential entropy is defined. Positivity alone does not ensure these expressions exist: Y=eT with T having Cauchy distribution has undefined Elog2​Y.
// Target: algebra.bigb

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  • Past exam of the mathematics course of the University of Cambridge / 2006 / iii / Paper 30 / 2 / Solution

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