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A note on the calculation of entropy from histograms

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  • Wallis, Kenneth

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.

Suggested Citation

  • Wallis, Kenneth, 2006. "A note on the calculation of entropy from histograms," MPRA Paper 52856, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:52856
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    File URL: https://mpra.ub.uni-muenchen.de/52856/1/MPRA_paper_52856.pdf
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    References listed on IDEAS

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    1. Cavanaugh, Joseph, 2007. "Encyclopedia of Statistical Sciences (2nd ed.). Samuel Kotz, Campbell B. Read, N. Balakrishnan, and Brani Vidakovic," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1074-1075, September.
    2. Robert W. Rich & Joseph Tracy, 2006. "The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts," Staff Reports 253, Federal Reserve Bank of New York.
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    Cited by:

    1. repec:zbw:bofrdp:2021_010 is not listed on IDEAS
    2. Stanisławska, Ewa & Paloviita, Maritta, 2021. "Medium- vs. short-term consumer inflation expectations: Evidence from a new euro area survey," Bank of Finland Research Discussion Papers 10/2021, Bank of Finland.
    3. Stanisławska, Ewa & Paloviita, Maritta, 2021. "Responsiveness of consumers' medium-term inflation expectations : evidence from a new euro area survey," Research Discussion Papers 10/2021, Bank of Finland.
    4. Victor Lopez-Perez, 2016. "Macroeconomic Forecast Uncertainty In The Euro Area," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 11(1), pages 9-41, March.
    5. Henry Chacon & Anuradha Roy, 2017. "Piecewise Solutions to Big Data," Working Papers o156mss, College of Business, University of Texas at San Antonio.

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    More about this item

    Keywords

    Entropy; histograms;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    Statistics

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