A note on the calculation of entropy from histograms
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.
|Date of creation:||Oct 2006|
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- 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.
- Robert 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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