An extended result on the optimal estimation under the minimum error entropy criterion
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Publication:296457
DOI10.3390/E16042223zbMATH Open1343.62080arXiv1401.6294OpenAlexW3098647104MaRDI QIDQ296457FDOQ296457
Nanning Zheng, Badong Chen, José C. Príncipe, Guangmin Wang
Publication date: 15 June 2016
Published in: Entropy (Search for Journal in Brave)
Abstract: The minimum error entropy (MEE) criterion has been successfully used in fields such as parameter estimation, system identification and the supervised machine learning. There is in general no explicit expression for the optimal MEE estimate unless some constraints on the conditional distribution are imposed. A recent paper has proved that if the conditional density is conditionally symmetric and unimodal (CSUM), then the optimal MEE estimate (with Shannon entropy) equals the conditional median. In this study, we extend this result to the generalized MEE estimation where the optimality criterion is the Renyi entropy or equivalently, the alpha-order information potential (IP).
Full work available at URL: https://arxiv.org/abs/1401.6294
Statistical aspects of information-theoretic topics (62B10) Inference from stochastic processes and prediction (62M20)
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