Scheduled System Maintenance:
On May 6th, system maintenance will take place from 8:00 AM - 12:00 PM ET (12:00 - 16:00 UTC). During this time, there may be intermittent impact on performance. We apologize for the inconvenience.
By Topic

Best asymptotic normality of the kernel density entropy estimator for smooth densities

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

The purchase and pricing options are temporarily unavailable. Please try again later.
2 Author(s)
Eggermont, P.P.B. ; Dept. of Math. Sci., Delaware Univ., Newark, DE, USA ; LaRiccia, V.N.

In the random sampling setting we estimate the entropy of a probability density distribution by the entropy of a kernel density estimator using the double exponential kernel. Under mild smoothness and moment conditions we show that the entropy of the kernel density estimator equals a sum of independent and identically distributed (i.i.d.) random variables plus a perturbation which is asymptotically negligible compared to the parametric rate n-1/2. An essential part in the proof is obtained by exhibiting almost sure bounds for the Kullback-Leibler divergence between the kernel density estimator and its expected value. The basic technical tools are Doob's submartingale inequality and convexity (Jensen's inequality)

Published in:

Information Theory, IEEE Transactions on  (Volume:45 ,  Issue: 4 )