Some results concerning maximum Renyi entropy distributions

Abstract

We consider the Student-t and Student-r distributions, which maximise Renyi entropy under a covariance condition. We show that they have information-theoretic properties which mirror those of the Gaussian distributions, which maximise Shannon entropy under the same condition. We introduce a convolution which preserves the Renyi maximising family, and show that the Renyi maximisers are the case of equality in a version of the Entropy Power Inequality. Further, we show that the Renyi maximisers satisfy a version of the heat equation, motivating the definition of a generalized Fisher information.

Revised version taking into account referee's comments