On convergence rate of the Shannon entropy rate of ergodic Markov chains via sample-path simulation

Hyeong Soo Chang

Statistics & Probability Letters, 2006, vol. 76, issue 12, 1261-1264

Abstract: This paper analyzes the asymptotic convergence rate of a simple simulation-based computation of the entropy of a given ergodic Markov chain. We show that the estimated Shannon entropy rate from a single finite-horizon sample-path converges to the true entropy exponentially fast in the horizon size of the sample-path.

Keywords: Entropy; Ergodic; Markov; chain; Large; deviation; Stochastic; simulation; Simulation; analysis (search for similar items in EconPapers)
Date: 2006
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