Statistical estimation of the Shannon entropy

Abstract: The behavior of the Kozachenko - Leonenko estimates for the (differential) Shannon entropy is studied when the number of i.i.d. vector-valued observations tends to infinity. The asymptotic unbiasedness and L^2-consistency of the estimates are established. The conditions employed involve the analogues of the Hardy - Littlewood maximal function. It is shown that the results are valid in particular for the entropy estimation of any nondegenerate Gaussian vector.