Minimum Mutual Information and Non-Gaussianity Through the Maximum Entropy Method: Theory and Properties
Instituto Dom Luiz, Faculdade de Ciências, University of Lisbon, DEGGE, Ed. C8, Campo-Grande, 1749-016 Lisbon, Portugal
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Entropy 2012, 14(6), 1103-1126; https://doi.org/10.3390/e14061103
Received: 20 May 2012
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Revised: 8 June 2012
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Accepted: 15 June 2012
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Published: 19 June 2012
(This article belongs to the Special Issue Concepts of Entropy and Their Applications)
The application of the Maximum Entropy (ME) principle leads to a minimum of the Mutual Information (MI), I(X,Y), between random variables X,Y, which is compatible with prescribed joint expectations and given ME marginal distributions. A sequence of sets of joint constraints leads to a hierarchy of lower MI bounds increasingly approaching the true MI. In particular, using standard bivariate Gaussian marginal distributions, it allows for the MI decomposition into two positive terms: the Gaussian MI (Ig), depending upon the Gaussian correlation or the correlation between ‘Gaussianized variables’, and a non‑Gaussian MI (Ing), coinciding with joint negentropy and depending upon nonlinear correlations. Joint moments of a prescribed total order p are bounded within a compact set defined by Schwarz-like inequalities, where Ing grows from zero at the ‘Gaussian manifold’ where moments are those of Gaussian distributions, towards infinity at the set’s boundary where a deterministic relationship holds. Sources of joint non-Gaussianity have been systematized by estimating Ing between the input and output from a nonlinear synthetic channel contaminated by multiplicative and non-Gaussian additive noises for a full range of signal-to-noise ratio (snr) variances. We have studied the effect of varying snr on Ig and Ing under several signal/noise scenarios.
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MDPI and ACS Style
Pires, C.A.L.; Perdigão, R.A.P. Minimum Mutual Information and Non-Gaussianity Through the Maximum Entropy Method: Theory and Properties. Entropy 2012, 14, 1103-1126. https://doi.org/10.3390/e14061103
AMA Style
Pires CAL, Perdigão RAP. Minimum Mutual Information and Non-Gaussianity Through the Maximum Entropy Method: Theory and Properties. Entropy. 2012; 14(6):1103-1126. https://doi.org/10.3390/e14061103
Chicago/Turabian StylePires, Carlos A. L., and Rui A. P. Perdigão. 2012. "Minimum Mutual Information and Non-Gaussianity Through the Maximum Entropy Method: Theory and Properties" Entropy 14, no. 6: 1103-1126. https://doi.org/10.3390/e14061103
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