Search arXiv⌕ Search
Home/Archive/arXiv

arXiv · 0802.4363

Estimating the entropy of binary time series: Methodology, some theory and a simulation study

Y. Gao·I. Kontoyiannis·E. Bienenstock
View original source ↗Read source document ↗Export metadata ↓

Abstract

Partly motivated by entropy-estimation problems in neuroscience, we present a detailed and extensive comparison between some of the most popular and effective entropy estimation methods used in practice: The plug-in method, four different estimators based on the Lempel-Ziv (LZ) family of data compression algorithms, an estimator based on the Context-Tree Weighting (CTW) method, and the renewal entropy estimator. **Methodology. Three new entropy estimators are introduced. For two of the four LZ-based estimators, a bootstrap procedure is described for evaluating their standard error, and a practical rule of thumb is heuristically derived for selecting the values of their parameters. ** Theory. We prove that, unlike their earlier versions, the two new LZ-based estimators are consistent for every finite-valued, stationary and ergodic process. An effective method is derived for the accurate approximation of the entropy rate of a finite-state HMM with known distribution. Heuristic calculations are presented and approximate formulas are derived for evaluating the bias and the standard error of each estimator. ** Simulation. All estimators are applied to a wide range of data generated by numerous different processes with varying degrees of dependence and memory. Some conclusions drawn from these experiments include: (i) For all estimators considered, the main source of error is the bias. (ii) The CTW method is repeatedly and consistently seen to provide the most accurate results. (iii) The performance of the LZ-based estimators is often comparable to that of the plug-in method. (iv) The main drawback of the plug-in method is its computational inefficiency.

Explore related subjects

cs.ITmath.ITmath.STstat.TH

Keep this discovery

Explore connections, maps & timelines

BibTeXRIS

Y. Gao, I. Kontoyiannis, E. Bienenstock. 2008-02-29. Estimating the entropy of binary time series: Methodology, some theory and a simulation study. https://doi.org/10.3390/entropy-e10020071

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Bistatic Target Detection by Exploiting Both Deterministic Pilots and Unknown Random Data Payloads

Integrated sensing and communication (ISAC) plays a crucial role in 6G, to enable innovative applications such as drone surveillance, urban air mobility, and low-altitude logistics. However, the hybrid ISAC signal, which comprises deterministic pilot and random data payload components, poses challenges for target detection due to two reasons: 1) these two components cause coupled shifts in both the mean and variance of the received signal, and 2) the random data payloads are typically unknown to the sensing receiver in the bistatic setting. Unfortunately, these challenges could not be tackled by existing target detection algorithms. In this paper, a generalized likelihood ratio test (GLRT)-based detector is derived, by leveraging the known deterministic pilots and the statistical characteristics of the unknown random data payloads. Due to the analytical intractability of exact performance characterization, we perform an asymptotic analysis for the false alarm probability and detection probability of the proposed detector. The results highlight a critical trade-off: both deterministic and random components improve detection reliability, but the latter also brings statistical uncertainty that hinders detection performance. Simulations validate the theoretical findings and demonstrate the effectiveness of the proposed detector, which highlights the necessity of designing a dedicated detector to fully exploited the signaling resources assigned to random data payloads.

cs.IT↗
arXiv2026

On Unbiased Parameter Estimation and Signal Reconstruction

In this paper, we extend the theory of depth-unbiased source localization to unbiased parameter estimation and signal reconstruction for an arbitrary number of non-zero parameters. The topic touches on exact reconstructibility, most commonly studied in compressed sensing and multisource estimation across various imaging problems. The theoretical results derive upper bounds on the number of recoverable parameters in the noiseless case, and define a probability measure to assess the likelihood of recovering all non-zero parameters with correct magnitude order. The work provides a mathematical explanation of the open question regarding the noise robustness of standardized and unbiased methods. The paper also reveals a trade-off between the number of sensors and the signal-to-noise ratio. Numerical experiments demonstrate the theoretical findings.

cs.IT↗
arXiv2026

Minimum enclosing Bregman balls made easy

In this work, we revisit the problem of computing minimum enclosing Bregman balls (Bregman MEBs) of finite sets of parameters. First, we show that Bregman MEBs are equivalent to MEBs of corresponding weighted point sets with respect to the power distance. We then report an efficient Frank--Wolfe $(1+ε)$-approximation algorithm for computing power MEBs, for any $ε>0$. This power MEB approximation algorithm coincides with the Bregman MEB approximation algorithm of Nock and Nielsen (2005) when expressed in the dual gradient space. Finally, we show that the Bregman potential lifting transforms used to construct Bregman Voronoi diagrams can be reinterpreted as the classical paraboloid lifting transform applied to corresponding weighted point sets. In particular, Bregman MEB circumcenters lie on the farthest Bregman Voronoi diagrams or equivalently on the corresponding farthest power diagrams.

cs.IT↗