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I posted this question before but i want to give more context. I have the following theorem

For a stationary source $X_1,..,X_n$, the term $H(X_n|X_{nāˆ’1}, . . . ,X_1)$ is nonincreasing in n and has a limit $\lim_{n \rightarrow \infty} H[X_n|X_{n-1}, X_{n-2}, \ldots, X_1]$.

Proof

Be $X_1, X_2, \ldots$ a stationary source. Then

$H[X_{n+1}|X_1, X_2, \ldots, X_n] \leq H[X_{n+1}|X_n, \ldots, X_2]$

and because of the stationary of the source follows $H[X_{n+1}|X_n, \ldots, X_2] = H[X_n| X_{n-1}, \ldots, X_1]$.

I dont understand the last step.

I have the following definition:

A sequnece of random variables is called stationary source, if for all m,n $\in N$ the joint distributions of $X_1, ..., X_n$ and $X_{m+1}, .., X_{m+n}$ are identical.

Now i want to show that

$H[X_1, .., X_{n-1}|X_n] = H[X_n , ..., X_2|X_1]$.

I know that

$H[X_1, .., X_{n-1}|X_n]=H[X_1, ..,X_n]-H[X_n]$ and $H[X_n , ..., X_2|X_1]=H[X_1, ..,X_n]-H[X_1]$

But why are these two terms equal?

Nic2431
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  • Since the law of $X_1$ is the same as the law of $X_n$ due to stationarity, we have $H[X_1] = H[X_n]$. – Mick Mar 06 '20 at 13:45
  • I can't believe I didn't see that. Thats was easier than I thought. Thank you :) – Nic2431 Mar 06 '20 at 14:03
  • Sometimes one does not see the forest for the trees. Happens even to the best of us :) – Mick Mar 06 '20 at 14:06

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