Cumulants of multiinformation density in the case of a multivariate normal distribution

Guillaume Marrelec and Alain Giron

Statistics & Probability Letters, 2020, vol. 156, issue C

Abstract: We consider a generalization of information density to a partitioning into N≥2 subvectors. We calculate its cumulant-generating function and its cumulants in the particular case of a multivariate normal distribution, showing that these quantities are only a function of all the regression coefficients associated with the partitioning.

Keywords: Dependence; Information; Cumulant-generating function; Cumulants; Mutual information; Multiinformation (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108587

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