Infinite Shannon entropy

Even if a probability distribution is properly normalizable, its associated Shannon (or von Neumann) entropy can easily be infinite. We carefully analyze conditions under which this phenomenon can occur. Roughly speaking, this happens when arbitrarily small amounts of probability are dispersed into an infinite number of states; we shall quantify this observation and make it precise. We develop several particularly simple, elementary, and useful bounds, and also provide some asymptotic estimates, leading to necessary and sufficient conditions for the occurrence of infinite Shannon entropy. We go to some effort to keep technical computations as simple and conceptually clear as possible. In particular, we shall see that large entropies cannot be localized in state space; large entropies can only be supported on an exponentially large number of states. We are for the time being interested in single-channel Shannon entropy in the information theoretic sense, not entropy in a stochastic field theory or QFT defined over some configuration space, on the grounds that this simple problem is a necessary precursor to understanding infinite entropy in a field theoretic context.Comment: 13 pages; V2: 4 references adde

Estimating Entropy of Data Streams Using Compressed Counting

The Shannon entropy is a widely used summary statistic, for example, network traffic measurement, anomaly detection, neural computations, spike trains, etc. This study focuses on estimating Shannon entropy of data streams. It is known that Shannon entropy can be approximated by Reenyi entropy or Tsallis entropy, which are both functions of the p-th frequency moments and approach Shannon entropy as p->1. Compressed Counting (CC) is a new method for approximating the p-th frequency moments of data streams. Our contributions include: 1) We prove that Renyi entropy is (much) better than Tsallis entropy for approximating Shannon entropy. 2) We propose the optimal quantile estimator for CC, which considerably improves the previous estimators. 3) Our experiments demonstrate that CC is indeed highly effective approximating the moments and entropies. We also demonstrate the crucial importance of utilizing the variance-bias trade-off