A note on the adaptive estimation of the di?erential entropy by wavelet methods

Christophe Chesneau (), Fabien Navarro () and Oana Silvia Serea ()
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Christophe Chesneau: Université de Caen; LMNO
Fabien Navarro: CREST;ENSAI
Oana Silvia Serea: Université Perpignan; Laboratoire de Mathématiques et Physique

No 2017-69, Working Papers from Center for Research in Economics and Statistics

Abstract: In this note we consider the estimation of the di?erential entropy of a probability density function. We propose a new adaptive estimator based on a plug-in approach and wavelet methods. Under the mean Lp error, p = 1, this estimator attains fast rates of convergence for a wide class of functions. We present simulation results in order to support our theoretical ?ndings.

Keywords: Entropy; Wavelet estimation; Rate of convergence; Mean Lp error (search for similar items in EconPapers)
Pages: 14 pages
Date: 2017-02-02
New Economics Papers: this item is included in nep-ecm
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