Journal article
Information measures of kernel estimation
Abstract
Kernel estimates of entropy and mutual information have been studied extensively in statistics and econometrics. Kullback–Leibler divergence has been used in the kernel estimation literature; yet the information characteristic of kernel estimation remains unexplored. We explore kernel estimation as an information transmission operation where the empirical cumulative distribution function is transformed into a smooth estimate. The smooth kernel …
Authors
Beheshti N; Racine JS; Soofi ES
Journal
Econometric Reviews, Vol. 38, No. 1, pp. 47–68
Publisher
Taylor & Francis
Publication Date
January 2, 2019
DOI
10.1080/07474938.2016.1222236
ISSN
0747-4938