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

Guillaume Marrelec; Alain Giron

doi:10.1016/j.spl.2019.108587

paper

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

arXiv:1908.06934 · doi:10.1016/j.spl.2019.108587

Abstract

We consider a generalization of information density to a partitioning into $N \geq 2$ 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.