Some results concerning maximum Renyi entropy distributions

Details Some results concerning maximum Renyi entropy distributions Some results concerning maximum Renyi entropy distributions

2005-07-19

arxiv.org/abs/math/0507400v2

Annales de l'Institut Henri Poincar\'e (B) Probability and Statistics, Vol 43/3, 2007, pages 339-351

Mathematics

Probability

Revised version taking into account referee's comments

Scientific paper

10.1016/j.anihpb.2006.05.001

We consider the Student-t and Student-r distributions, which maximise Renyi entropy under a covariance condition. We show that they have information-theoretic properties which mirror those of the Gaussian distributions, which maximise Shannon entropy under the same condition. We introduce a convolution which preserves the Renyi maximising family, and show that the Renyi maximisers are the case of equality in a version of the Entropy Power Inequality. Further, we show that the Renyi maximisers satisfy a version of the heat equation, motivating the definition of a generalized Fisher information.

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