Bayesian estimation of information-theoretic metrics for sparsely sampled distributions

DOI10.5281/zenodo.10592747Zenodo10592747MaRDI QIDQ6705977FDOQ6705977

Dataset published at Zenodo repository.

R. Guimerà, Angelo Piga, Lluc Font-Pomarol, Marta Sales-Pardo

Publication date: 30 January 2024

Copyright license: Creative Commons Attribution 4.0 International

Description

Codes, syntetic and empirical data for "Bayesian estimation of information-theoretic metrics for sparsely sampled distributions" Abstract: Estimating the Shannon entropy of a discrete distribution from which we have only observed a small sample is challenging. Estimating other information-theoretic metrics, such as the Kullback-Leibler divergence between two sparsely sampled discrete distributions, is even harder. Here, we propose a fast, semi-analytical estimator for sparsely sampled distributions.Its derivation is grounded in probabilistic considerations and uses a hierarchical Bayesian approach to extract as much information as possible from the few observations available. Our approach provides estimates of the Shannon entropy with precision at least comparable to the benchmarks we consider, and most often higher; it does so across diverse distributions with very different properties. Our method can also be used to obtain accurate estimates of other information-theoretic metrics, including the notoriously challenging Kullback-Leibler divergence. Here, again, our approach has less bias, overall, than the benchmark estimators we consider.

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