Authors

• Gholam Hosein Yari
• Zohre Nikooravesh

Abstract

In this paper an approximation for entropy rate of an ergodic
Markov chain via sample path simulation is calculated. Although there
is an explicit form of the entropy rate here, the exact computational
method is laborious to apply. It is demonstrated that the estimated
entropy rate of Markov chain via sample path not only converges to the
correct entropy rate but also does it exponentially fast.

Keywords

• Entropy rate
• ergodic Markov chain
• exponential convergence
• Simulation