Estimation of the entropy of a multivariate normal distribution

DOI10.1016/j.jmva.2003.10.003zbMath1073.62002OpenAlexW1969649155WikidataQ23918833 ScholiaQ23918833MaRDI QIDQ1765618

Eugene Demchuk, Harshinder Singh, Neeraj Misra

Publication date: 23 February 2005

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2003.10.003

zbMATH Keywords

Wishart distributionStein-type estimatorEntropyRisk functionAffine equivariant estimatorsBrewster-Zidek-type estimatorGeneralized Bayes estimatorInadmissible estimatorQuadratic loss function

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Statistical aspects of information-theoretic topics (62B10) Admissibility in statistical decision theory (62C15)

Related Items (13)

On the improved estimation of a function of the scale parameter of an exponential distribution based on doubly censored sample ⋮ Estimation bias in maximum entropy models ⋮ Improved estimation of a function of scale parameter of a doubly censored exponential distribution ⋮ Estimation of the Shannon's entropy of several shifted exponential populations ⋮ Estimates of low bias for the multivariate normal ⋮ Parametric Bayesian estimation of differential entropy and relative entropy ⋮ Nearest neighbor estimates of entropy for multivariate circular distributions ⋮ Large-sample asymptotic approximations for the sampling and posterior distributions of differential entropy for multivariate normal distributions ⋮ Estimating the Renyi entropy of several exponential populations ⋮ Shannon Entropy and Mutual Information for Multivariate Skew‐Elliptical Distributions ⋮ Estimating a function of scale parameter of an exponential population with unknown location under general loss function ⋮ Improved estimators of the entropy in scale mixture of exponential distributions ⋮ Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions

Cites Work

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• Estimation of Generalized Variance Under Entropy Losses : Admissibility Results
• Decision-theoretic estimation of generalized variance and generalized precision
• On the Admissibility of Invariant Estimators of One or More Location Parameters

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