Estimating Functions of Probability Distributions From A Finite Set of Samples

David R. Wolf and David H. Wolpert

Working Papers from Santa Fe Institute

Abstract: Part II: Bayes Estimators for Mutual Information, Chi-Squared, Covariance, and other Statistics.

This paper is the second in a series of two on the problem of estimating a function of a probability distribution from a finite set of samples of that distribution. In the first paper, the Bayes estimator for a function of a probability distribution was introduced, the optimal properties of the Bayes estimator were discussed, and Bayes and frequency-counts estimators for the Shannon entropy were derived and graphically contrasted. In the current paper the analysis of the first paper is extended by the derivation of Bayes estimators for several other functions of interest in statistics and information theory. These functions are (powers of) the mutual information, chisquared for tests of independence, variance, covariance, and average. Finding Bayes estimators for several of these functions requires extensions to the analytical techniques developed in the first paper, and these extensions form the main body of this paper. This paper extends the analysis in other ways as well, for example by enlarging the class of potential priors beyond the uniform prior assumed in the first paper. In particular, the use of the entropic and Dirichlet priors is considered.

Date: 1993-07
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Persistent link: https://EconPapers.repec.org/RePEc:wop:safiwp:93-07-047

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