A nonparametric estimation of the entropy for absolutely continuous distributions (Corresp.) | IEEE Journals & Magazine | IEEE Xplore

A nonparametric estimation of the entropy for absolutely continuous distributions (Corresp.)


Abstract:

LetF(x)be an absolutely continuous distribution having a density functionf(x)with respect to the Lebesgue measure. The Shannon entropy is defined asH(f) = -\int f(x) \ln ...Show More

Abstract:

LetF(x)be an absolutely continuous distribution having a density functionf(x)with respect to the Lebesgue measure. The Shannon entropy is defined asH(f) = -\int f(x) \ln f(x) dx. In this correspondence we propose, based on a random sampleX_{1}, \cdots , X_{n}generated fromF, a nonparametric estimate ofH(f)given by\hat{H}(f) = -(l/n) \sum_{i = 1}^{n} \In \hat{f}(x), where\hat{f}(x)is the kernel estimate offdue to Rosenblatt and Parzen. Regularity conditions are obtained under which the first and second mean consistencies of\hat{H}(f)are established. These conditions are mild and easily satisfied. Examples, such as Gamma, Weibull, and normal distributions, are considered.
Published in: IEEE Transactions on Information Theory ( Volume: 22, Issue: 3, May 1976)
Page(s): 372 - 375
Date of Publication: 31 May 1976

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