Improved estimation of differential entropy of a multivariate Gaussian distribution

arXiv:2610.41849v1 Announce Type: new Abstract: We consider estimation of entropy of a multivariate variate normal distribution with unknown mean vector and unknown covariance matrix. Using a decision-theoretic approach, we study the problem under a general location-invariant loss function that is strictly convex and minimized at zero. We first characterize the class of affine equivariant estimators and obtain the best affine equivariant estimator. We further show that the best affine equivariant estimator is inadmissible under the general loss. Exploiting information in the sample mean, we derive Stein-type improved estimators, including an extension to the case of a mean matrix. Under the linex loss, we obtain a smooth Brewster--Zidek-type estimator that dominates the best affine equivariant estimator, and we show that this estimator is generalized Bayes under a suitable non-informative prior.