CRC Press eBooks
More Problems in Classical and Quantum Information Theory
Harish Parthasarathy
Abstract
[1] If X is a Gaussian random vector with covariance R, then since the normal distribution maximizes the entropy of a probability distribution with second moment constraint, it follows that for any random variable Z having covariance R, we have https://www.w3.org/1998/Math/MathML"> H ( Z ) ≤ H ( X ) = ( n / 2 log ) ( 2 π e ) + ( 1 / 2 ) log | R | https://s3-euw1-ap-pe-df-pch-content-public-p.s3.eu-west-1.amazonaws.com/9781003353454/e21648bc-3c5c-46b7-b52d-2c5637ecef01/content/math11_171_1_B.tif" xmlns:xlink=" https://www.w3.org/1999/xlink "/>