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Sharp variance-entropy comparison for nonnegative Gaussian quadratic forms

Probability 2021-05-12 v4 Information Theory math.IT

Abstract

In this article we study weighted sums of nn i.i.d. Gamma(α\alpha) random variables with nonnegative weights. We show that for n1/αn \geq 1/\alpha the sum with equal coefficients maximizes differential entropy when variance is fixed. As a consequence, we prove that among nonnegative quadratic forms in nn independent standard Gaussian random variables, a diagonal form with equal coefficients maximizes differential entropy, under a fixed variance. This provides a sharp lower bound for the relative entropy between a nonnegative quadratic form and a Gaussian random variable. Bounds on capacities of transmission channels subject to nn independent additive gamma noises are also derived.

Keywords

Cite

@article{arxiv.2005.11705,
  title  = {Sharp variance-entropy comparison for nonnegative Gaussian quadratic forms},
  author = {Maciej Bartczak and Piotr Nayar and Szymon Zwara},
  journal= {arXiv preprint arXiv:2005.11705},
  year   = {2021}
}
R2 v1 2026-06-23T15:46:02.459Z