Estimation of the Entropy Rate of ErgodicMarkov Chains
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Abstract:
In this paper an approximation for entropy rate of an ergodic Markov chain via sample path simulation is calculated. Although there is an explicit form of the entropy rate here, the exact computational method is laborious to apply. It is demonstrated that the estimated entropy rate of Markov chain via sample path not only converges to the correct entropy rate but also does it exponentially fast.
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Journal title
volume 11 issue None
pages 75- 85
publication date 2012-03
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