TITLE

Comparative Construction of Plug-in Estimators of the Entropy Rate of Two-state Markov Chains

AUTHOR(S)
Girardin, Valérie; Sesboüé, André
PUB. DATE
June 2009
SOURCE
Methodology & Computing in Applied Probability;Jun2009, Vol. 11 Issue 2, p181
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The entropy rate of an ergodic homogeneous Markov chain taking only two values is an explicit function of its transition probabilities. We study plug-in estimators of this entropy rate based on the observation of either one trajectory with long length or several trajectories with fixed length. Their exact asymptotic distributions are given. A detailed numerical study using simulation results is provided. Real data of rainfall occurrences are studied.
ACCESSION #
36966671

 

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