2018
DOI: 10.1007/s10114-018-7440-z
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Statistical Estimation of the Shannon Entropy

Abstract: The behavior of the Kozachenko -Leonenko estimates for the (differential) Shannon entropy is studied when the number of i.i.d. vector-valued observations tends to infinity. The asymptotic unbiasedness and L 2 -consistency of the estimates are established. The conditions employed involve the analogues of the Hardy -Littlewood maximal function. It is shown that the results are valid in particular for the entropy estimation of any nondegenerate Gaussian vector.

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Cited by 28 publications
(41 citation statements)
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“…These patterns were provided by the Shannon's entropy, as described by Bulinski and Dimitrov 44 as follows: H()2=i=1Nj=1Npijlogpij,where p ij is the probability of having or not discrepant pixels in the universe of heights.…”
Section: Methodsmentioning
confidence: 99%
“…These patterns were provided by the Shannon's entropy, as described by Bulinski and Dimitrov 44 as follows: H()2=i=1Nj=1Npijlogpij,where p ij is the probability of having or not discrepant pixels in the universe of heights.…”
Section: Methodsmentioning
confidence: 99%
“…Shannon entropy [27] and minimum entropy [28] are effective tools to depict the statistical characteristics of random numbers. Shannon entropy can quantitatively evaluate the effective information in a random sequence, and the independence and uncertainty of each bit.…”
Section: A Select the Least Significant Bitsmentioning
confidence: 99%
“…Let X ∼ N (a, Σ) where a ∈ R d and Σ > 0. It is easily seen that, for any ε > 0, one has E| log f X (X)| ε < ∞ (see, e.g., [10]). Since, for x ∈ R d and y ∈ M ,…”
Section: Now We Show That Uniformly Formentioning
confidence: 99%
“…Applying the expressions obtained for nominator and denominator of the latter fraction in (70) and taking into account that a function P(X ∈ B(x, t)) is continuous in (x, t) ∈ R d × R + (see, e.g., Lemma 1 in [10]) we get, for each n ∈ N (n > 1), k ∈ {1, . .…”
Section: Now We Show That Uniformly Formentioning
confidence: 99%
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