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The moment-entropy inequality shows that a continuous random variable with given second moment and maximal Shannon entropy must be Gaussian. Stam’s inequality shows that a continuous random variable with given Fisher information and minimal Shannon entropy must also be Gaussian. The CramérRao inequality is a direct consequence of these two inequalities. In… (More)

Affine isoperimetric inequalities compare functionals, associated with convex (or more general) bodies, whose ratios are invariant under GL(n)-transformations of the bodies. These isoperimetric inequalities are more powerful than their better-known relatives of a Euclidean flavor. To be a bit more specific, this article deals with inequalities for centroid… (More)

Corresponding to each origin-symmetric convex (or more general) subset of Euclidean n-space R, there is a unique ellipsoid with the following property: The moment of inertia of the ellipsoid and the moment of inertia of the convex set are the same about every 1-dimensional subspace ofR. This ellipsoid is called the Legendre ellipsoid of the convex set. The… (More)

For origin-symmetric convex bodies (i.e., the unit balls of finite dimensional Banach spaces) it is conjectured that there exist a family of inequalities each of which is stronger than the classical Brunn-Minkowski inequality and a family of inequalities each of which is stronger than the classical Minkowski mixed-volume inequality. It is shown that these… (More)

- Erwin Lutwak, Deane Yang, Gaoyong Zhang
- IEEE Transactions on Information Theory
- 2007

The pth moment matrix is defined for a real random vector, generalizing the classical covariance matrix. Sharp inequalities relating the pth moment and Renyi entropy are established, generalizing the classical inequality relating the second moment and the Shannon entropy. The extremal distributions for these inequalities are completely characterized

- Erwin Lutwak, Songjun Lv, Deane Yang, Gaoyong Zhang
- IEEE Transactions on Information Theory
- 2012

We explain how the classical notions of Fisher information of a random variable and Fisher information matrix of a random vector can be extended to a much broader setting. We also show that Stam's inequality for Fisher information and Shannon entropy, as well as the more generalized versions proved earlier by the authors, are all special cases of more… (More)

Associated with each body K in Euclidean n-space Rn is an ellipsoid 02K called the Legendre ellipsoid of K . It can be defined as the unique ellipsoid centered at the body’s center of mass such that the ellipsoid’s moment of inertia about any axis passing through the center of mass is the same as that of the body. In an earlier paper the authors showed that… (More)

By this we mean that there is a smooth isometric embedding of a neighborhood of a given point x0 M; to simplify notation, we shall refer to this neighborhood also as M. When (M, ds2) is real analytic, the Burstin-Cartan-Janet-Schafly theorem (cf. the references given in [3, 11]) shows that such local isometric embeddings exist. When n 2 it is also known… (More)

- Onur G. Guleryuz, Erwin Lutwak, Deane Yang, Gaoyong Zhang
- IEEE Trans. Information Theory
- 2002

We show that for a special class of probability distributions that we call contoured distributions, information theoretic invariants and inequalities are equivalent to geometric invariants and inequalities of bodies in Euclidean space associated with the distributions. Using this, we obtain characterizations of contoured distributions with extremal Shannon… (More)

- Andrew Kalotay, Deane Yang, Frank J. Fabozzi
- 2003

The dominant consideration in the valuation of mortgage-backed securities (MBS) is modeling the prepayments of the pool of underlying mortgages. Current industry practice is to use historical data to project future prepayments. In this paper we introduce a new approach and show how it can be used to value both pools of mortgages and mortgage-backed… (More)