Bias adjustment for a nonparametric entropy estimator (Q742735)

Summary: The first author in [\textit{Z.-Y. Zhang}, Neural Comput. 24, No.~5, 1368--1389 (2012; Zbl 1262.94015)] introduced a nonparametric estimator of Shannon's entropy, whose bias decays exponentially fast when the alphabet is finite. We propose a methodology to estimate the bias of this estimator. We then use it to construct a new estimator of entropy. Simulation results suggest that this bias adjusted estimator has a significantly lower bias than many other commonly used estimators. We consider both the case when the alphabet is finite and when it is countably infinite.