BIAS REDUCTION OF THE NEAREST NEIGHBOR ENTROPY ESTIMATOR
Alexei Kaltchenko, Nina Timofeeva, Eugeniy Aleksandrovich Timofeev · International Journal of Bifurcation and Chaos · 2008
A new family of entropy estimators, constructed as a linear combination (weighted average) of nearest neighbor estimators with slightly different individual properties, is proposed. It is shown that a special suboptimal selection of the coefficients in the linear combination results in a polynomial reduction of the estimator's bias, which continues the line of work of P. Grassberger on entropy estimation. Computer simulation results are provided.