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Model. Anal. Inform. Sist., 2013, Volume 20, Number 2, Pages 178–185 (Mi mais307)  

Algorithm for Efficient Entropy Estimation

E. A. Timofeev

P. G. Demidov Yaroslavl State University, Sovetskaya str., 14, Yaroslavl, 150000, Russia

Abstract: We consider the problem of the nonparametric entropy estimation of a stationary ergodic process. Our approach is based on the nearest-neighbor distances. We propose a broad class of metrics on the space $\Omega = A^{\mathbb{N}}$ of right-sided infinite sequences drawn from a finite alphabet $A$. The new metric has a parameter which is a non-increasing function. We apply this metrics to nearest-neighbor entropy estimators. We prove that, under certain conditions, the estimators has a small variance. We show that a special selection of the metric parameters reduction of the estimator's bias. The article is published in the author's wording.

Keywords: entropy, nonparametric statistic, metric, ball, Bernoullis measure.

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Document Type: Article
UDC: 519.987
Received: 15.04.2013
Language: English

Citation: E. A. Timofeev, “Algorithm for Efficient Entropy Estimation”, Model. Anal. Inform. Sist., 20:2 (2013), 178–185

Citation in format AMSBIB
\Bibitem{Tim13}
\by E.~A.~Timofeev
\paper Algorithm for Efficient Entropy Estimation
\jour Model. Anal. Inform. Sist.
\yr 2013
\vol 20
\issue 2
\pages 178--185
\mathnet{http://mi.mathnet.ru/mais307}


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