Back to Shannon differential entropy
The Stowell-Plumbley differential entropy estimator is a non-parametric estimator based on approximating the underlying probability density function by a cover of disjoint axis-aligned boxes with uniform densities. The implementation of this estimator in TIM has an average runtime of ''O(m log(m) + m n)'', where ''m'' is the number of samples and ''n'' is the dimension. This is very fast compared to the other estimators. Unfortunately, it is not very accurate in higher dimensions, and thus we do not recommend using it in dimensions higher than 3. For higher dimensions you should use the estimators based on nearest neighbors, such as Kozachenko-Leonenko or Nilsson-Kleijn.
The data must be full-dimensional. If this is not the case, you should use the Nilsson-Kleijn estimator instead.
For accuracy, there must be at least ''2^n'' samples, where ''n'' is the dimension of the sample set.
For accuracy, the dimension of the sample set must not be higher than 3.
Fast Multidimensional Entropy Estimation by k-d Partitioning,
Dan Stowell, Mark D. Plumbley,
IEEE Signal Processing Letters, Vol. 16, No. 6,
June 2009.
Stowell-Plumbley recursive partition estimator
Stowell-Plumbley recursive partition estimator