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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2012
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/1205.5856 |
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| _version_ | 1866909373925687296 |
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| author | Timofeev, Evgeniy Kaltchenko, Alexei |
| author_facet | Timofeev, Evgeniy Kaltchenko, Alexei |
| contents | A problem of improving the accuracy of nonparametric entropy estimation for a stationary ergodic process is considered. New weak metrics are introduced and relations between metrics, measures, and entropy are discussed. Based on weak metrics, a new nearest-neighbor entropy estimator is constructed and has a parameter with which the estimator is optimized to reduce its bias. It is shown that estimator's variance is upper-bounded by a nearly optimal Cramer-Rao lower bound. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1205_5856 |
| institution | arXiv |
| publishDate | 2012 |
| record_format | arxiv |
| spellingShingle | Nearest-neighbor Entropy Estimators with Weak Metrics Timofeev, Evgeniy Kaltchenko, Alexei Information Theory Statistics Theory 58F15, 58F17, 53C35 A problem of improving the accuracy of nonparametric entropy estimation for a stationary ergodic process is considered. New weak metrics are introduced and relations between metrics, measures, and entropy are discussed. Based on weak metrics, a new nearest-neighbor entropy estimator is constructed and has a parameter with which the estimator is optimized to reduce its bias. It is shown that estimator's variance is upper-bounded by a nearly optimal Cramer-Rao lower bound. |
| title | Nearest-neighbor Entropy Estimators with Weak Metrics |
| topic | Information Theory Statistics Theory 58F15, 58F17, 53C35 |
| url | https://arxiv.org/abs/1205.5856 |