This paper shows that the capacity achieving input distribution for a fading Gaussian broadcast channel is not Gaussian in general. The construction of non-Gaussian distributions that strictly outperform Gaussian ones, for certain characterized fading distributions, is provided. The ability of analyzing non-Gaussian input distributions with closed form expressions is made possible in a local setting. It is shown that there exists a specific coordinate system, based on Hermite polynomials, which parametrizes Gaussian neighborhoods and which is particularly suitable to study the entropic operators encountered with Gaussian noise.