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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2021 Volume 66, Issue 3, Pages 601–609 (Mi tvp5442)

This article is cited in 1 paper

Short Communications

On the maximum entropy of a sum of independent discrete random variables

M. Kovačević

Faculty of Technical Sciences, University of Novi Sad, Novi Sad, Serbia

Abstract: Let $X_1, \dots, X_n$ be independent random variables taking values in the alphabet $\{0, 1, \dots, r\}$, and let $S_n=\sum_{i=1}^n X_i$. The Shepp–Olkin theorem states that in the binary case (${r=1}$), the Shannon entropy of $S_n$ is maximized when all the $X_i$'s are uniformly distributed, i.e., Bernoulli(1/2). In an attempt to generalize this theorem to arbitrary finite alphabets, we obtain a lower bound on the maximum entropy of $S_n$ and prove that it is tight in several special cases. In addition to these special cases, an argument is presented supporting the conjecture that the bound represents the optimal value for all $n$, $r$, i.e., that $H(S_n)$ is maximized when $X_1, \dots, X_{n-1}$ are uniformly distributed over $\{0, r\}$, while the probability mass function of $X_n$ is a mixture (with explicitly defined nonzero weights) of the uniform distributions over $\{0, r\}$ and $\{1, \dots, r-1\}$.

Keywords: maximum entropy, Bernoulli sum, binomial distribution, Shepp–Olkin theorem, ultra-log-concavity.

Received: 15.08.2020
Revised: 04.02.2021
Accepted: 04.02.2021

DOI: 10.4213/tvp5442


 English version:
Theory of Probability and its Applications, 2021, 66:3, 482–487

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