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Estimate entropy of a finite discrete system using limited samples
Following idea of:
Consider a system with a state space of the size $|\mathbb{X}| = \Gamma$ with equal probability. The entropy is given by \begin{align} H & = - \sum_{x\in\mathbb{X}} \frac{1}{\Gamma} \ln\frac{1}{\Gamma} \\ & = \ln \Gamma . \end{align} The objective is to estimate $\Gamma$ by sampling the space $\mathbb{X}$. The only information we have is whether a sampled point is the same as the other: $\delta_{x_i,x_j}$.