Entropy and the central limit theorem (Q1080263): Difference between revisions

The author establishes a strengthened central limit theorem for densities showing monotone convergence in the sense of relative entropy. The relative entropy is defined by \[ D_ n=\int f(x) \log f(x)/\phi (x)dx \] where f is the density function of a random variable, X, with finite variance and \(\phi\) is the normal density with the same mean and variance as f.