How to show that the entropy H(Pois(lambda)) of a Poisson distribution Pois(lambda) is Concave in parameter lambda? i-e

Aron Heath

Aron Heath

Answered question

2022-11-16

How to show that the entropy H ( Pois ( λ ) ) of a Poisson distribution Pois ( λ ) is Concave in parameter λ? i-e

Answer & Explanation

Samsonitew7b

Samsonitew7b

Beginner2022-11-17Added 15 answers

Note that f ( λ ) = E λ ( log p λ ( X ) ) where p λ is the pmf of P o i s s o n ( λ ) distribution and X P o i s s o n ( λ )
Then using the standard regularity conditions as Poisson belongs to Exponential family,
f ( λ ) = d 2 d λ 2 E λ ( log p λ ( X ) ) = E λ ( 2 λ 2 log p λ ( X ) ) = E λ ( ( λ log p λ ( X ) ) 2 ) 0

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