Universal Estimation of Information Measures for Analog Sources

  • Authors:
  • Qing Wang;Sanjeev R. Kulkarni;Sergio Verdú

  • Affiliations:
  • -;-;-

  • Venue:
  • Foundations and Trends in Communications and Information Theory
  • Year:
  • 2009

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Abstract

This monograph presents an overview of universal estimation of information measures for continuous-alphabet sources. Special attention is given to the estimation of mutual information and divergence based on independent and identically distributed (i.i.d.) data. Plug-in methods, partitioning-based algorithms, nearest-neighbor algorithms as well as other approaches are reviewed, with particular focus on consistency, speed of convergence and experimental performance.