Computation of entropy for special cases. Entropy of stochastic processes

Roman V. Belavkin, Panos M. Pardalos, Jose C. Principe and Ruslan L. Stratonovich
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Roman V. Belavkin: Middlesex University, Faculty of Science and Technology
Panos M. Pardalos: University of Florida, Industrial and Systems Engineering
Jose C. Principe: University of Florida, Electrical & Computer Engineering

Chapter Chapter 5 in Theory of Information and its Value, 2020, pp 103-171 from Springer

Abstract: Abstract In the present chapter, we set out the methods for computation of entropy of many random variables or of a stochastic process in discrete and continuous time. From a fundamental and practical points of view, of particular interest are the stationary stochastic processes and their information-theoretic characteristics, specifically their entropy. Such processes are relatively simple objects, particularly a discrete process, i.e. a stationary process with discrete states and running in discrete time. Therefore, this process is a very good example for demonstrating the basic points of the theory, and so we shall start from its presentation.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-22833-0_5

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DOI: 10.1007/978-3-030-22833-0_5

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