A note on the calculation of entropy from histograms

Wallis, Kenneth (2006): A note on the calculation of entropy from histograms.

Abstract

An expression for the entropy of a random variable whose probability density function is reported as a histogram is given. It allows the construction of time series of entropy from responses to density forecast surveys such as the US Survey of Professional Forecasters or the Bank of England Survey of External Forecasters, where the questionnaire provides histogram bins whose width changes from time to time.

• Item Type: MPRA Paper
• Language: English
• Keywords: Entropy; histograms
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General

References

Harris, B. (2006). Entropy. In N. Balakrishnan, C.B. Read and B. Vidakovic (eds), Encyclopedia of Statistical Sciences (2nd edn, vol.3), pp.1992-1996. New York: Wiley.

Rich, R. and Tracy, J. (2006). The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts. Staff Report No.253, Federal Reserve Bank of New York. (Revised version published in Review of Economics and Statistics, 92 (2010), 200-207.)