On the Equivalence Between Stein and De Bruijn Identities

DOI10.1109/TIT.2012.2210275MaRDI QIDQ2989665zbMATH OpenOpenAlexFDO

Authors Khalid Qaraqe, Sang Woo Park, E. Serpedin

Publication date 8 June 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.0015

Mathematics Subject Classification ID

Measures of information, entropy (94A17)

Abstract: This paper focuses on proving the equivalence between Stein's identity and de Bruijn's identity. Given some conditions, we prove that Stein's identity is equivalent to de Bruijn's identity. In addition, some extensions of de Bruijn's identity are presented. For arbitrary but fixed input and noise distributions, there exist relations between the first derivative of the differential entropy and the posterior mean. Moreover, the second derivative of the differential entropy is related to the Fisher information for arbitrary input and noise distributions. Several applications are presented to support the usefulness of the developed results in this paper.

Cited in

(7)

• An extension of entropy power inequality for dependent random variables
• Extension of de Bruijn's identity to dependent non-Gaussian noise channels
• On generalized moment identity and its applications: a unified approach
• Jensen-information generating function and its connections to some well-known information measures
• Entropy flow and de Bruijn's identity for a class of stochastic differential equations driven by fractional Brownian motion
• Entropy and the fourth moment phenomenon
• A de Bruijn's identity for dependent random variables based on copula theory

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