ROOT-N CONSISTENT ESTIMATORS OF ENTROPY FOR DENSITIES WITH UNBOUNDED SUPPORT

Authors
TSYBAKOV AB VANDERMEULEN EC
Citation
Ab. Tsybakov et Ec. Vandermeulen, ROOT-N CONSISTENT ESTIMATORS OF ENTROPY FOR DENSITIES WITH UNBOUNDED SUPPORT, Scandinavian journal of statistics, 23(1), 1996, pp. 75-83
Citations number
18
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Scandinavian journal of statistics → ACNP
ISSN journal
03036898
Volume
23
Issue
1
Year of publication
1996
Pages
75 - 83
Database
ISI
SICI code
0303-6898(1996)23:1<75:RCEOEF>2.0.ZU;2-Y
Abstract
We consider a truncated version of the entropy estimator proposed by K ozachenko & Leonenko (1987) and based on spacings of order 1. We prove the mean square root n-consistency of the estimator for a class of de nsities with unbounded support, including the Gaussian density.