We clarify that Hölder's inequality can be stated more generally than is often realized. This is an immediate consequence of an analogous information-theoretic identity which we call Hölder's identity. We also explain Andrew R. Barron's original use of the identity.
All Science Journal Classification (ASJC) codes
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Hölder's inequality
- Information theory
- Measure theory