Entropy Inference and the James-Stein Estimator, with Application to Nonlinear Gene Association Networks

@article{Hausser2009EntropyIA,
  title={Entropy Inference and the James-Stein Estimator, with Application to Nonlinear Gene Association Networks},
  author={Jean Hausser and Korbinian Strimmer},
  journal={J. Mach. Learn. Res.},
  year={2009},
  volume={10},
  pages={1469-1484}
}
We present a procedure for effective estimation of entropy and mutual information from small-sample data, and apply it to the problem of inferring high-dimensional gene association networks. Specifically, we develop a James-Stein-type shrinkage estimator, resulting in a procedure that is highly efficient statistically as well as computationally. Despite its simplicity, we show that it outperforms eight other entropy estimation procedures across a diverse range of sampling scenarios and data… 

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