Improving the efficiency of nonparametric entropy estimation
Е. А. Тимофеев, Alexei Kaltchenko · Proceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE · 2014
A problem of improving the efficiency of nonparametric entropy estimation for discrete stationary ergodic processes is considered. The estimation depends on selection of underlying metric on the space of right-sided infinite sequences. Proposed is a new family of metrics which depend on a set of parameters. The estimator is linearly dependent on the parameters, and the best accuracy is achieved by solution of a system of linear equations.