What is the relationship between the variance/covariance matrix of a multidimensional Gaussian and its information entropy?

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P. D. Gujrati Popular answer

Apart from a constant, which depends on the dimension of the Gaussian, the entropy contains the natural log of the determinant of the covariance matrix.

P. D. Gujrati

Diego Fasoli

Hi Hassan, please have a look at this link Ciao!

http://en.wikipedia.org/wiki/Multivariate_normal_distribution#Entropy