Cumulants of multiinformation density in the case of a multivariate normal distribution
Statistics Theory
2024-09-10 v2 Information Theory
math.IT
Other Statistics
Statistics Theory
Abstract
We consider a generalization of information density to a partitioning into subvectors. We calculate its cumulant-generating function and its cumulants, showing that these quantities are only a function of all the regression coefficients associated with the partitioning.
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Cite
@article{arxiv.1908.06934,
title = {Cumulants of multiinformation density in the case of a multivariate normal distribution},
author = {Guillaume Marrelec and Alain Giron},
journal= {arXiv preprint arXiv:1908.06934},
year = {2024}
}