A New Estimator for Shannon Entropy
In this paper, we propose a new estimator for Shannon entropy of a continuous random variable. Consistency and other properties of the new estimator is stated. Through a Monte Carlo simulation, the mean squared error of the proposed estimator is compared with some prominent estimators, namely Vasicek’s estimator, Van Es’s estimator, and Correa’s estimator. Finally, it is shown that the proposed estimator has smaller mean squared error than the other estimators.