Fortune, Timothy; Sang, Hailin - In: Journal of risk and financial management : JRFM 13 (2020) 9/205, pp. 1-13
In this paper, we estimate the Shannon entropy S(f)=-E[log(f(x))] of a one-sided linear process with probability density function f(x). We employ the integral estimator Sn(f), which utilizes the standard kernel density estimator fn(x) of f(x). We show that Sn(f) converges to S(f) almost surely...
