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A routine exercise designed to test one's knowledge; often from a textbook, course, or test used for a class or self-study. This community's policy is to "provide helpful hints" for such questions rather than complete answers.

1 vote

Is it true that entropy estimation is meaningless if samples are not i.i.d.?

you probably refer to the asymptotic equipartition property? AEP Wikipedia $X_1,...,X_n$ have to be iid then, since $-\frac{1}{n}\log p(X_1,...,X_n)=-\frac{1}{n}\sum_i\log p(X_i)\rightarrow -E[\log p( …
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