Estimation of the entropy of a multivariate normal distribution

DOI10.1016/J.JMVA.2003.10.003MaRDI QIDQ1765618zbMATH OpenOpenAlexWikidataFDO

Authors Neeraj Misra, Harshinder Singh, Eugene Demchuk

Publication date 23 February 2005

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2003.10.003

zbMATH Keywords

Wishart distributionStein-type estimatorEntropyRisk functionAffine equivariant estimatorsBrewster-Zidek-type estimatorGeneralized Bayes estimatorInadmissible estimatorQuadratic loss function

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Estimation in multivariate analysis (62H12) Admissibility in statistical decision theory (62C15)

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Cites work

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• scientific article; zbMATH DE number 4032826 (Why is no real title available?)
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• An improved estimator of the generalized variance
• Decision-theoretic estimation of generalized variance and generalized precision
• Estimating the covariance matrix and the generalized variance under a symmetric loss
• Estimation of Generalized Variance Under Entropy Losses : Admissibility Results
• Improved estimation of the generalized precision under the entropy loss
• Improving on equivariant estimators
• Inadmissibility of the usual estimator for the variance of a normal distribution with unknown mean
• On improved estimators of the generalized variance
• On the Admissibility of Invariant Estimators of One or More Location Parameters
• Risk behavior of variance estimators in multivariate normal distribution

Cited in

(19)

• Estimation bias in maximum entropy models
• Estimating the entropy of a Rayleigh model under progressive first-failure censoring
• An entropic framework for the normal distribution in capability analysis
• Large-sample asymptotic approximations for the sampling and posterior distributions of differential entropy for multivariate normal distributions
• Shannon entropy and mutual information for multivariate skew-elliptical distributions
• Parametric Bayesian estimation of differential entropy and relative entropy
• Estimating a function of scale parameter of an exponential population with unknown location under general loss function
• On the improved estimation of a function of the scale parameter of an exponential distribution based on doubly censored sample
• Improved estimation of a function of scale parameter of a doubly censored exponential distribution
• Estimating the Renyi entropy of several exponential populations
• Cumulants of multiinformation density in the case of a multivariate normal distribution
• scientific article; zbMATH DE number 6277632 (Why is no real title available?)
• Estimates of low bias for the multivariate normal
• Improved estimators of the entropy in scale mixture of exponential distributions
• Nearest neighbor estimates of entropy for multivariate circular distributions
• Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions
• On the Entropy Computation of Large Complex Gaussian Mixture Distributions
• Entropic Latent Variable Integration via Simulation
• Estimation of the Shannon's entropy of several shifted exponential populations

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