Estimation of the entropy of a multivariate normal distribution

DOI10.1016/J.JMVA.2003.10.003zbMATH Open1073.62002OpenAlexW1969649155WikidataQ23918833 ScholiaQ23918833MaRDI QIDQ1765618FDOQ1765618

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

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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)

Cites Work

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• On the Admissibility of Invariant Estimators of One or More Location Parameters
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• Improved estimation of the generalized precision under the entropy loss
• Estimation of Generalized Variance Under Entropy Losses : Admissibility Results

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
• Estimating a function of scale parameter of an exponential population with unknown location under general loss function
• Parametric Bayesian estimation of differential entropy and relative entropy
• 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
• Title not available (Why is that?)
• 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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