Shannon Entropy Estimation for Linear Processes
نویسندگان
چکیده
منابع مشابه
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Shannon entropy is increasingly used in many applications. In this article, an estimator of the entropy of a continuous random variable is proposed. Consistency and scale invariance of variance and mean squared error of the proposed estimator is proved and then comparisons are made with Vasicek's (1976), van Es (1992), Ebrahimi et al. (1994) and Correa (1995) entropy estimators. A simulation st...
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ژورنال
عنوان ژورنال: Journal of Risk and Financial Management
سال: 2020
ISSN: 1911-8074
DOI: 10.3390/jrfm13090205