Archive for distributions

A Question of Distributions and Entropies

Posted in mathematics with tags , , on November 28, 2022 by telescoper

I thought I’d use the medium of this blog to pick the brains of my readers about some general questions I have about probability and entropy as described on the chalkboard above in order to help me with my homework.

Imagine that px(x) and py(y) are one-point probability density functions and pxy(x,y) is a two-point (joint) probability density function defined so that its marginal distributions are px(x) and py(y) and shown on the left-hand side of the board. These functions are all non-negative definite and integrate to unity as shown.

Note that, unless x and y are independent, in which case pxy(x,y) = px(x) py(y), the joint probability cannot be determined from the marginals alone.

On the right we have Sx, Sy and Sxy defined by integrating plogp for the two univariate distributions and the bivariate distributions respectively as shown on the right-hand side of the board. These would be proportional to the Gibbs entropy of the distributions concerned but that isn’t directly relevant.

My question is: what can be said in general terms (i.e. without making any further assumptions about the distributions involved) about the relationship between Sx, Sy and Sxy ?

Answers on a postcard through the comments block please!