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Bayesian Entropy Estimation under Pitman-Yor Mixture (PYM) prior - matlab code



description: Computes the Bayes' least squares estimate (i.e., posterior mean) of the entropy of a discrete distribution from samples under a Pitman-Yor Mixture (PYM) prior. The PYM prior is a mixture of Pitman-Yor (or 2-parameter Poisson-Dirichlet) distributions over countably infinite discrete distributions, with mixing weights set to produce an approximately flat prior over entropy. Also computes posterior variance for quantifying uncertainty.

download: master.zip   (more info: README.html)
browse: github project page


relevant publications:
  • Archer E, Park I, & Pillow JW (2014). Bayesian Entropy Estimation for Countable Discrete Distributions. Journal of Machine Learning Research 15 (Oct): 2833-2868. [abstract | pdf | link ]
  • Archer E, Park I & Pillow JW (2012). Bayesian estimation of discrete entropy with mixtures of stick-breaking priors. Advances in Neural Information Processing Systems 25, eds. P. Bartlett and F.C.N. Pereira and C.J.C. Burges and L. Bottou and K.Q. Weinberger, 2024-2032. [abstract | pdf ]




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