A Monte Carlo estimation of the entropy for Markov chains
DOI10.1007/S11009-006-9010-6zbMATH Open1115.62011OpenAlexW2147758935MaRDI QIDQ2642483FDOQ2642483
Authors: Didier Chauveau, P. Vandekerkhove 
Publication date: 17 August 2007
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-006-9010-6
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Cites Work
- Approximation Theorems of Mathematical Statistics
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- Entropy expressions and their estimators for multivariate distributions
- Probability Inequalities for Sums of Independent Random Variables
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- Central limit theorem for nonlinear filtering and interacting particle systems
- Best asymptotic normality of the kernel density entropy estimator for smooth densities
- Entropy jumps in the presence of a spectral gap
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- On contraction properties of Markov kernels
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- When does Edgeworth beat Berry and Esséen? Numerical evaluations of Edgeworth expansions
Cited In (10)
- Estimation using plug-in of the stationary distribution and Shannon entropy of continuous time Markov processes
- Smoothness of Metropolis-Hastings algorithm and application to entropy estimation
- Comparative construction of plug-in estimators of the entropy rate of two-state Markov chains
- The entropy of Markov trajectories
- kth‐order Markov chain‐based approximation of the Shannon entropy of Gaussian photon‐counting processes
- Estimation of the Entropy Rate of a Countable Markov Chain
- ENTROPY OF RANDOM VARIABLE SEQUENCE IN A PARTICULAR MARKOV CHAIN
- On convergence rate of the Shannon entropy rate of ergodic Markov chains via sample-path simulation
- Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
- Estimation of the entropy rate of ergodic Markov chains
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