On Analytic Properties of Entropy Rate

DOI10.1109/TIT.2009.2016015MaRDI QIDQ4975843zbMATH OpenOpenAlexFDO

Authors Alexander Schönhuth

Publication date 8 August 2017

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0804.2469

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Quantum stochastic calculus (81S25) Measures of information, entropy (94A17)

Abstract: Entropy rate is a real valued functional on the space of discrete random sources which lacks a closed formula even for subclasses of sources which have intuitive parameterizations. A good way to overcome this problem is to examine its analytic properties relative to some reasonable topology. A canonical choice of a topology is that of the norm of total variation as it immediately arises with the idea of a discrete random source as a probability measure on sequence space. It is shown that entropy rate is Lipschitzian relative to this topology, which, by well known facts, is close to differentiability. An application of this theorem leads to a simple and elementary proof of the existence of entropy rate of random sources with finite evolution dimension. This class of sources encompasses arbitrary hidden Markov sources and quantum random walks.

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(3)

• Divergence rates of Markov order estimators and their application to statistical estimation of stationary ergodic processes
• Analyticity of the entropy for some random walks
• Entropy computations via analytic depoissonization

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