Sample-spacings-based density and entropy estimators for spherically invariant multidimensional data

  • Authors:
  • Intae Lee

  • Affiliations:
  • -

  • Venue:
  • Neural Computation
  • Year:
  • 2010

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Abstract

While the sample-spacings-based density estimation method is simple and efficient, its applicability has been restricted to one-dimensional data. In this letter, the method is generalized such that it can be extended to multiple dimensions in certain circumstances. As a consequence, a multidimensional entropy estimator of spherically invariant continuous random variables is derived. Partial bias of the estimator is analyzed, and the estimator is further used to derive a nonparametric objective function for frequency-domain independent component analysis. The robustness and the effectiveness of the objective function are demonstrated with simulation results.