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A note on the calculation of entropy from histograms

Author

Listed:
  • 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

    as
    1. 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.
    2. 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.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. 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.

    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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