Cumulants of multiinformation density in the case of a multivariate normal distribution

Guillaume Marrelec (1) , Alain Giron (1)

1 LIB - Laboratoire d'Imagerie Biomédicale [Paris]

We consider a generalization of information density to a partitioning into N ≥ 2 subvectors. We calculate its cumulant-generating function and its cumulants, showing that these quantities are only a function of all the regression coefficients associated with the partitioning

Mots clés: multiinformation; dependence; information; cumulant-generating function; cumulants; mutual information

Domaines: Théorie de l'information et codage [math.IT]; Probabilités [math.PR]; Statistiques [math.ST]

Guillaume Marrelec, Alain Giron. Cumulants of multiinformation density in the case of a multivariate normal distribution. Statistics and Probability Letters, 2020, 156, pp.108587. ⟨10.1016/j.spl.2019.108587⟩. ⟨hal-02374446⟩