Universal Estimation of Directed Information

11 Jan 2012Jiantao JiaoHaim H. PermuterLei ZhaoYoung-Han KimTsachy Weissman

Four estimators of the directed information rate between a pair of jointly stationary ergodic finite-alphabet processes are proposed, based on universal probability assignments. The first one is a Shannon--McMillan--Breiman type estimator, similar to those used by Verd\'u (2005) and Cai, Kulkarni, and Verd\'u (2006) for estimation of other information measures... (read more)

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