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• W1558044293 abstract "In this work, a new technique for the estimation of the Shannon's entropy and the Kullback-Leibler (KL) divergence for one dimensional data is presented. The estimator is based on the Szego's theorem for sequences of Toeplitz matrices, which deals with the asymptotic behavior of the eigenvalues of those matrices, and the analogy between a probability density function (PDF) and a power spectral density (PSD), which allows us to estimate a PDF of bounded support using the well-known spectral estimation techniques. Specifically, an AR model is used for the PDF/PSD estimation, and the entropy is easily estimated as a function of the eigenvalues of the autocorrelation Toeplitz matrix. The performance of the Szego's estimators is illustrated by means of Monte Carlo simulations and compared with previously proposed alternatives, showing a good performance." @default.
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• W1558044293 date "2009-08-24" @default.
• W1558044293 modified "2023-09-29" @default.
• W1558044293 title "Entropy and Kullback-Leibler divergence estimation based on Szegö's theorem" @default.
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• W1558044293 doi "https://doi.org/10.5281/zenodo.41337" @default.
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