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Table 2

Differential entropy for a few common distributions.

Distribution on Θ Differential entropy h (Θ)
𝒩(μ, ∑) μ ∈ ℝD, ∑ ∈ ℝD×D 12log2[(2πe)D|Σ|]$\[\frac{1}{2} ~\log _{2}\left[(2 \pi e)^{D}|\Sigma|\right]\]$

General Θ ∈ ℝD D ≥ 1 Unif (C) C ⊂ ℝD log2 Vol C

log 𝒩(μ, ∑) μ ∈ ℝD, ∑ ∈ ℝD×D 12log2[(2πe)D|Σ|e2d=1Dμd]$\[\frac{1}{2} ~\log _{2}\left[(2 \pi e)^{D}|\Sigma| e^{2 \sum_{d=1}^{D} \mu_{d}}\right]\]$

𝒩(μ, σ2) μ ∈ ℝ, σ > 0 12log2[2πeσ2]$\[\frac{1}{2} ~\log _{2}\left[2 \pi e ~\sigma^{2}\right]\]$

Univariate Θ ∈ ℝ D = 1 Unif (a, b) a < b log2 [b − a]

log 𝒩(μ, σ2) μ ∈ ℝ, σ > 0 12log2[2πeσ2e2μ]$\[\frac{1}{2} ~\log _{2}\left[2 \pi e ~\sigma^{2} ~e^{2 \mu}\right]\]$

Notes. As is introduced in Sect. 2.1, 𝒩 denotes a Gaussian distribution, Unif a uniform distribution and log 𝒩 a lognormal distribution. Vol(C) is the volume of a set C, |∑| is the determinant of a covariance matrix ∑.

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