A Monte Carlo estimation of the entropy for Markov chains

DOI10.1007/S11009-006-9010-6MaRDI QIDQ2642483zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

EntropyKullback informationMarkov chainsRate in central limit theoremsStability

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Statistical aspects of information-theoretic topics (62B10)

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Cites work

• Approximation Theorems of Mathematical Statistics
• Best asymptotic normality of the kernel density entropy estimator for smooth densities
• Central limit theorem for nonlinear filtering and interacting particle systems
• Entropy expressions and their estimators for multivariate distributions
• Entropy jumps in the presence of a spectral gap
• scientific article; zbMATH DE number 3656968 (Why is no real title available?)
• scientific article; zbMATH DE number 741240 (Why is no real title available?)
• scientific article; zbMATH DE number 1047461 (Why is no real title available?)
• scientific article; zbMATH DE number 922427 (Why is no real title available?)
• On contraction properties of Markov kernels
• Probability Inequalities for Sums of Independent Random Variables
• When does Edgeworth beat Berry and Esséen? Numerical evaluations of Edgeworth expansions

Cited in

(10)

• Comparative construction of plug-in estimators of the entropy rate of two-state Markov chains
• Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
• On convergence rate of the Shannon entropy rate of ergodic Markov chains via sample-path simulation
• 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 ergodic Markov chains
• ENTROPY OF RANDOM VARIABLE SEQUENCE IN A PARTICULAR MARKOV CHAIN
• 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
• Estimation of the Entropy Rate of a Countable Markov Chain

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