Estimation of entropy-type integral functionals

DOI10.1080/03610926.2013.853789zbMATH Open1338.62087arXiv1209.2544OpenAlexW1557649353MaRDI QIDQ2807736FDOQ2807736

Authors: David Källberg, Oleg Seleznjev 

Publication date: 25 May 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Abstract: Entropy-type integral functionals of densities are widely used in mathematical statistics, information theory, and computer science. Examples include measures of closeness between distributions (e.g., density power divergence) and uncertainty characteristics for a random variable (e.g., R'enyi entropy). In this paper, we study U-statistic estimators for a class of such functionals. The estimators are based on epsilon-close vector observations in the corresponding independent and identically distributed samples. We prove asymptotic properties of the estimators (consistency and asymptotic normality) under mild integrability and smoothness conditions for the densities. The results can be applied in diverse problems in mathematical statistics and computer science (e.g., distribution identification problems, approximate matching for random databases, two-sample problems).

Full work available at URL: https://arxiv.org/abs/1209.2544

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zbMATH Keywords

asymptotic normality\(U\)-statisticsentropy estimationinter-point distancesquadratic functionaldivergence estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Measures of information, entropy (94A17)

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Cited In (8)

• Estimation of entropy and extropy based on right censored data: a Bayesian non-parametric approach
• Functional calibration estimation by the maximum entropy on the mean principle
• Divergence measures estimation and its asymptotic normality theory in the discrete case
• Bayesian estimation of extropy and goodness of fit tests
• Statistical inference for the \(\epsilon \)-entropy and the quadratic Rényi entropy
• AN ENTROPY BASED GLIMM-TYPE FUNCTIONAL
• Estimation of an entropy-based functional
• Statistical inference for Rényi entropy functionals

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