Entropy and random vectors

DOI10.1023/A:1010353526846MaRDI QIDQ5949315zbMATH OpenWikidataFDO

Authors Oliver Johnson, Yuri Suhov

Publication date 19 November 2001

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1010353526846

zbMATH Keywords

entropyFisher informationnormal convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Measures of information, entropy (94A17)

Review text

The central limit theorem for real-valued independent identically distributed random variables where the convergence in relative entropy is considered was shown by \textit{A. R. Barron} [Ann. Probab. 14, 336-342 (1986; Zbl 0599.60024)]. The paper gives a similar result for independent real-valued random vectors, not necessarily identically distributed.

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