Abstract
We describe a nonparametric estimator for the differential entropy of a multidimensional distribution, given a limited set of data points, by a recursive rectilinear partitioning. The estimator uses an adaptive partitioning method and runs in Theta( <i xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">N</i> <sub xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">log</sub> <i xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">N</i> ) time, with low memory requirements. In experiments using known distributions, the estimator is several orders of magnitude faster than other estimators, with only modest increase in bias and variance.
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