On the entropy and log-concavity of compound Poisson measures
نویسندگان
چکیده
Motivated, in part, by the desire to develop an information-theoretic foundation for compound Poisson approximation limit theorems (analogous to the corresponding developments for the central limit theorem and for simple Poisson approximation), this work examines sufficient conditions under which the compound Poisson distribution has maximal entropy within a natural class of probability measures on the nonnegative integers. We show that the natural analog of the Poisson maximum entropy property remains valid if the measures under consideration are log-concave, but that it fails in general. A parallel maximum entropy result is established for the family of compound binomial measures. The proofs are largely based on ideas related to the semigroup approach introduced in recent work by Johnson [12] for the Poisson family. Sufficient conditions are given for compound distributions to be log-concave, and specific examples are presented illustrating all the above results.
منابع مشابه
Log-concavity, ultra-log-concavity, and a maximum entropy property of discrete compound Poisson measures
Sufficient conditions are developed, under which the compound Poisson distribution has maximal entropy within a natural class of probability measures on the nonnegative integers. Recently, one of the authors [O. Johnson, Stoch. Proc. Appl., 2007] used a semigroup approach to show that the Poisson has maximal entropy among all ultra-log-concave distributions with fixed mean. We show via a non-tr...
متن کاملLog-concavity and the maximum entropy property of the Poisson distribution
We prove that the Poisson distribution maximises entropy in the class of ultralog-concave distributions, extending a result of Harremoës. The proof uses ideas concerning log-concavity, and a semigroup action involving adding Poisson variables and thinning. We go on to show that the entropy is a concave function along this semigroup. 1 Maximum entropy distributions It is well-known that the dist...
متن کاملPoisson processes and a log-concave Bernstein theorem
We discuss interplays between log-concave functions and log-concave sequences. We prove a Bernstein-type theorem, which characterizes the Laplace transform of logconcave measures on the half-line in terms of log-concavity of the alternating Taylor coefficients. We establish concavity inequalities for sequences inspired by the PrékopaLeindler and the Walkup theorems. One of our main tools is a s...
متن کاملEntropy of infinite systems and transformations
The Kolmogorov-Sinai entropy is a far reaching dynamical generalization of Shannon entropy of information systems. This entropy works perfectly for probability measure preserving (p.m.p.) transformations. However, it is not useful when there is no finite invariant measure. There are certain successful extensions of the notion of entropy to infinite measure spaces, or transformations with ...
متن کاملSelected Topics in Stochastic Optimization
OF THE DISSERTATION Selected topics in stochastic optimization by Anh Tuan Ninh Dissertation Directors: András Prékopa Yao Zhao This report constitutes the Doctoral Dissertation for Anh Ninh and consists of three topics: log-concavity of compound Poisson and general compound distributions, discrete moment problems with fractional moments, and the recruitment stocking problems. In the first topi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- CoRR
دوره abs/0805.4112 شماره
صفحات -
تاریخ انتشار 2008