Entropy Rate Estimation for Markov Chains with Continuous Distributions
Puning Zhao, Lifeng Lai · 2023
Entropy rate estimation has a broad range of applications such as bioinformatics, feature clustering etc. Although there are many existing work on the estimation of entropy rate for Markov chains with discrete distributions, the understanding for the entropy rate estimation of Markov chains with continuous distributions is limited. In this paper, efficient methods for estimating the entropy rate for Markov chains with continuous distributions are proposed. Moreover, we derive bounds on the convergence rate of the proposed entropy rate estimators.