On the Equivalence Between Stein and De Bruijn Identities
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Publication:2989665
DOI10.1109/TIT.2012.2210275zbMATH Open1364.94249arXiv1202.0015OpenAlexW1978277591MaRDI QIDQ2989665FDOQ2989665
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)
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.
Full work available at URL: https://arxiv.org/abs/1202.0015
Cited In (7)
- 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
- Extension of de Bruijn's identity to dependent non-Gaussian noise channels
- An extension of entropy power inequality for dependent random variables
- On generalized moment identity and its applications: a unified approach
- A de Bruijn's identity for dependent random variables based on copula theory
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