Entropy expressions and their estimators for multivariate distributions

Authors:
N. A. Ahmed;D. V. Gokhale
Affiliations:
Bell Commun. Res., Piscataway, NJ;-
Venue:
IEEE Transactions on Information Theory
Year:
2006

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Abstract

Entropy expressions for several continuous multivariate distributions are derived. Point estimation of entropy for the multinormal distribution and for the distribution of order statistics from D.G. Weinman's (Ph.D dissertation, Ariz. State Univ., Tempe, AZ, 1966) exponential distribution is considered. The asymptotic distribution of the uniformly minimum variance unbiased estimator for multinormal entropy is obtained. Simulation results on convergence of the means and variances of these estimators are provided