A note on the adaptive estimationof the differential entropy by wavelet methods

[摘要] 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.

[学科分类] 物理化学和理论化学

[关键词] entropy;wavelet estimation;rate of convergence;mean $\\mathbb{L}_p$ errorDOI: DOI 10.14712/1213-7243.2015.191AMS Subject Classification: 62G07 62G20 PDF