Comparative Construction of Plug-in Estimators of the Entropy Rate of Two-state Markov Chains

Valérie Girardin () and André Sesboüé ()
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Valérie Girardin: Université de Caen
André Sesboüé: Université de Caen

Methodology and Computing in Applied Probability, 2009, vol. 11, issue 2, 181-200

Abstract: Abstract The entropy rate of an ergodic homogeneous Markov chain taking only two values is an explicit function of its transition probabilities. We study plug-in estimators of this entropy rate based on the observation of either one trajectory with long length or several trajectories with fixed length. Their exact asymptotic distributions are given. A detailed numerical study using simulation results is provided. Real data of rainfall occurrences are studied.

Keywords: Entropy rate; Homogeneous two-state Markov Chain; Plug-in estimation; 60J10; 62G20; 94A17 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11009-008-9106-2

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