A note on the adaptive estimation of the differential entropy by wavelet methods
Chesneau Christophe, Fabien Navarro, Serea Oana Silvia · Commentationes Mathematicae Universitatis Carolinae · 2017
In this note we consider the estimation of the differential entropy of a probability density function. We propose a new adaptive estimator based on a plug-in approach and wavelet methods. Under the mean $\mathbb{L}_p$ error, $p\ge 1$, this estimator attains fast rates of convergence for a wide class of functions. We present simulation results in order to support our theoretical findings.