Limit Distributions for a Statistical Estimate of the Entropy

DOI10.1137/1118080MaRDI QIDQ4046912zbMATH OpenOpenAlexFDO

Authors A. M. Zubkov

Publication date 1973

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/1118080

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Asymptotic distribution theory in statistics (62E20) Information theory (general) (94A15)

Cited in

(7)

• Shannon's Entropy and Its Generalisations Towards Statistical Inference in Last Seven Decades
• Escort distributions minimizing the Kullback-Leibler divergence for a large deviations principle and tests of entropy level
• Estimation using plug-in of the stationary distribution and Shannon entropy of continuous time Markov processes
• Variance of entropy for testing time-varying regimes with an application to meme stocks
• A statistical test of market efficiency based on information theory
• Estimation of the Entropy Rate of a Countable Markov Chain
• Price predictability at ultra-high frequency: entropy-based randomness test

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