Rényi entropy for multivariate controlled autoregressive moving average systems

Rényi entropy is an important measure in the context of information theory as a generalisation of Shannon entropy. This information measure was often used for uncertainty quantification of dynamical behaviour of stochastic processes. In this paper, we study in detail this measure for multivariate controlled autoregressive moving average (MCARMA) systems. The characteristic function of output process is represented from the terms of its residual characteristic function. An explicit formula to compute the Rényi entropy for the output process of the MCARMA system is derived. In addition, we investigate the covariance matrix to find the upper bound of Rényi entropy. We present three simulations that serve to illustrate the behaviour of information in the MCARMA system, where the control and noise follow the Gaussian, Cauchy and Laplace distributions. Finally, the behaviour of Rényi entropy is illustrated in two real-world applications: a paper-making process and an electric circuit system.