A new estimator of entropy |
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| Authors: | Juan C. Correa |
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| Affiliation: | Universidad Nacional-Sede Medellin , Departmento de Matematicas , Medellin, A.A, 3890, Colombia |
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| Abstract: | Vasicek (1976) proposed an estimator of entropy based on spacings. A new estimator of entropy is proposed. This new estimator is based on local linear regression. Comparisons between this new estimator and Vasicek's estimator are made. The mean square error (MSE) of the new estimator is consistently smaller than the MSE of Vasicek's estimator. |
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| Keywords: | entropy spacings local regression |
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