Optimal rates of entropy estimation over Lipschitz balls (Q1996767)

The authors considers the i.i.d. sampling model, \(X_1,\dots,X_n\sim f\), where \(f\) is a probability density function on \(\mathbb{R}^d\) and the goal of this paper is to estimate the entropy of the density function \(f\), \[ H(f)\triangle q\int_{\mathbb{R}^d}-f(x)\ln f(x)\,dx. \] The second section of the article is dedicated to the construction of the estimator, and in the third section, one provides the proof of a result on upper bounds. To construct an optimal estimator for the entropy \(H(f)\) one uses the following strategy: one defines a smooth density \(f_h(x)\) by means of a kernel function \(K_h(.)\), approximates \(f\) by \(f_h\), constructs an estimator for \(H(f_h)\) based on the kernel density estimator and looks for bounds to the approximation error. Generalizations and open problems are discussed in the fourth section. One reports that proofs and auxiliary used results can be found in a supplement to this paper.