Monotonic Decrease of the Non-Gaussianness of the Sum of Independent Random Variables: A Simple Proof

  • Authors:
  • A. M. Tulino;S. Verdu

  • Affiliations:
  • Dept. of Electr. Eng., Univ. di Napoli;-

  • Venue:
  • IEEE Transactions on Information Theory
  • Year:
  • 2006

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Abstract

Artstein, Ball, Barthe, and Naor have recently shown that the non-Gaussianness (divergence with respect to a Gaussian random variable with identical first and second moments) of the sum of independent and identically distributed (i.i.d.) random variables is monotonically nonincreasing. We give a simplified proof using the relationship between non-Gaussianness and minimum mean-square error (MMSE) in Gaussian channels. As Artstein , we also deal with the more general setting of nonidentically distributed random variables