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 i.i.d. Gamma() random variables with nonnegative weights. We show that for the sum with equal coefficients maximizes differential entropy when variance is fixed. As a consequence, we prove that among nonnegative quadratic forms in 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 independent additive gamma noises are also derived.
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}
}