The convergence of the Rényi entropy of the normalized sums of IID random variables

Hongfei Cui and Yiming Ding

Statistics & Probability Letters, 2010, vol. 80, issue 15-16, 1167-1173

Abstract: We prove that the Rényi entropy of order [alpha] ([alpha]>1) of the normalized sums of IID random variables with continuous differentiable density is convergent to the Rényi entropy of order [alpha] of the standard Gaussian distribution, and obtain the corresponding rates of convergence.

Keywords: Renyi; entropy; of; order; [alpha]; Normalized; sum; Rate; of; convergence (search for similar items in EconPapers)
Date: 2010
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