Multivariate Gaussianization for Data Processing

Intro Iterative Gaussianization Experiments ConclusionsPropertiesDefinition 3: NegentropyNegentropy measures Gaussianity with the KLD:)J(x) = D KL(p(x)|N (µ x , σ 2 xI)Remark 1Negentropy is always non-negative and zero iff x has a Gaussian distributionDefinition 4: Negentropy to unit GaussianKLD to a multivariate zero mean unit variance Gaussian distribution:J(x) = D KL (p(x)|N (0, I))Definition 5: Marginal negentropy to unit GaussianMarginal negentropy is defined as the sum of the KLDs of each marginal,p i (x i ), to the univariate zero mean unit variance Gaussian, N (0, 1):J m(x) =d∑D KL (p i (x i )|N (0, 1))i=1