Bounds on Variance for Unimodal Distributions

DOI10.1109/TIT.2017.2749310MaRDI QIDQ4566537zbMATH OpenOpenAlexFDO

Authors Hyewon Chung, Brian M. Sadler, Alfred O. III Hero

Publication date 27 June 2018

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

Full work available at URL https://arxiv.org/abs/1510.08341

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Statistical aspects of information-theoretic topics (62B10) Inequalities; stochastic orderings (60E15)

Abstract: We show a direct relationship between the variance and the differential entropy for subclasses of symmetric and asymmetric unimodal distributions by providing an upper bound on variance in terms of entropy power. Combining this bound with the well-known entropy power lower bound on variance, we prove that the variance of the appropriate subclasses of unimodal distributions can be bounded below and above by the scaled entropy power. As differential entropy decreases, the variance is sandwiched between two exponentially decreasing functions in the differential entropy. This establishes that for the subclasses of unimodal distributions, the differential entropy can be used as a surrogate for concentration of the distribution.

Cited in

(2)

• Upper bound for variance of finite mixtures of power exponential distributions
• Variance upper bounds and convolutions of \(\alpha\)-unimodal distributions

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