Abstract
This note is concerned with estimation of the Shannon-Wiener measure of information. Low bias estimates are obtained, and their bias and variance. These estimates are extended to the case where the number of possible values of the random variable is not known. The estimates are compared asymptotically with the maximum likelihood estimates. They are also compared with the minimax estimates (for squared error loss function) for a few special cases where these are easily found.
Citation
Colin R. Blyth. "Note on Estimating Information." Ann. Math. Statist. 30 (1) 71 - 79, March, 1959. https://doi.org/10.1214/aoms/1177706360
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