arXiv · cs/0612080
On the Decrease Rate of the Non-Gaussianness of the Sum of Independent Random Variables
Abstract
Several proofs of the monotonicity of the non-Gaussianness (divergence with respect to a Gaussian random variable with identical second order statistics) of the sum of n independent and identically distributed (i.i.d.) random variables were published. We give an upper bound on the decrease rate of the non-Gaussianness which is proportional to the inverse of n, for large n. The proof is based on the relationship between non-Gaussianness and minimum mean-square error (MMSE) and causal minimum mean-square error (CMMSE) in the time-continuous Gaussian channel.
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Jacob Binia. 2006-12-17. On the Decrease Rate of the Non-Gaussianness of the Sum of Independent Random Variables. https://arxiv.org/abs/cs/0612080
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