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This article is cited in 1 scientific paper (total in 1 paper)
Short Communications
On the maximum entropy of a sum of independent discrete random variables
M. Kovačević Faculty of Technical Sciences, University of Novi Sad, Novi Sad, Serbia
Abstract:
Let $X_1, \dots, X_n$ be independent random variables taking values
in the alphabet $\{0, 1, \dots, r\}$, and let $S_n=\sum_{i=1}^n X_i$.
The Shepp–Olkin theorem states that in the binary case (${r=1}$),
the Shannon entropy of $S_n$ is maximized when all the $X_i$'s are
uniformly distributed, i.e., Bernoulli(1/2).
In an attempt to generalize this theorem to arbitrary finite alphabets,
we obtain a lower bound on the maximum entropy of $S_n$ and prove
that it is tight in several special cases.
In addition to these special cases, an argument is presented supporting
the conjecture that the bound represents the optimal value for all $n$, $r$,
i.e., that $H(S_n)$ is maximized when $X_1, \dots, X_{n-1}$ are
uniformly distributed over $\{0, r\}$, while the probability mass
function of $X_n$ is a mixture (with explicitly defined nonzero weights)
of the uniform distributions over $\{0, r\}$ and $\{1, \dots, r-1\}$.
Keywords:
maximum entropy, Bernoulli sum, binomial distribution, Shepp–Olkin theorem, ultra-log-concavity.
Received: 15.08.2020 Revised: 04.02.2021 Accepted: 04.02.2021
Citation:
M. Kovačević, “On the maximum entropy of a sum of independent discrete random variables”, Teor. Veroyatnost. i Primenen., 66:3 (2021), 601–609; Theory Probab. Appl., 66:3 (2021), 482–487
Linking options:
https://www.mathnet.ru/eng/tvp5442https://doi.org/10.4213/tvp5442 https://www.mathnet.ru/eng/tvp/v66/i3/p601
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