Abstract
A Bayesian nonparametric estimator to entropy is proposed. The derivation of the new estimator relies on using the Dirichlet process and adapting the well-known frequentist estimators of Vasicek (1976) and Ebrahimi, Pflughoeft and Soofi (1994). Several theoretical properties, such as consistency, of the proposed estimator are obtained. The quality of the proposed estimator has been investigated through several examples, in which it exhibits excellent performance.
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