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Information theoretic measures of dependence, compactness, and non-gaussianity for multivariate probability distributions

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Figure

Fig. 1. Contours of joint pdfs of x1, x2 displaying different degreesof “structure”. (a) Gaussian pdf with no compactness or dependencebetween x1 and x2
Fig. 2. Three pdfs of equal variance but differing entropy:H(p2)<H(p3)<H(p1). The Gaussian pdf has maximum entropyamong all pdfs with the same variance.

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