Concentration Bounds for Plug-In Estimator of Directed Information
Ricardo F. Ferreira · IEEE Transactions on Information Theory · 2021
In this study, we consider directed information between a pair of jointly stationary ergodic finite-valued chains. Assuming that the jointly process loses memory exponentially fast with a positive constant rate, we obtain concentration bounds for the plug-in estimator of the directed information around its expectation and directed information rate.