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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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Table of 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.