Entropy power inequality

In information theory, the entropy power inequality is a result that relates to so-called "entropy power" of random variables. It shows that the entropy power of suitably well-behaved random variables is a superadditive function. The entropy power inequality was proved in 1948 by Claude Shannon in his seminal paper "A Mathematical Theory of Communication". Shannon also provided a sufficient condition for equality to hold; Stam (1959) showed that the condition is in fact necessary.

For a random variable X : Ω → Rⁿ with probability density function f : Rⁿ → R, the differential entropy of X, denoted h(X), is defined to be

and the entropy power of X, denoted N(X), is defined to be

In particular, N(X) = |K| ^1/n when X is normal distributed with covariance matrix K.

Let X and Y be independent random variables with probability density functions in the L^p space L^p(Rⁿ) for some p > 1. Then

Moreover, equality holds if and only if X and Y are multivariate normal random variables with proportional covariance matrices.

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