Improving quality of sample entropy estimation for continuous distribution probability functions

Entropy is a one of the key parameters characterizing state of system in statistical physics. Although, the entropy is defined for systems described by discrete and continuous probability distribution function (PDF), in numerous applications the sample entropy is estimated by a histogram, which, in fact, denotes that the continuous PDF is represented by a set of probabilities. Such a procedure may lead to ambiguities and even misinterpretation of the results. Within this paper, two possible general algorithms based on continuous PDF estimation are discussed in the application to the Shannon and Tsallis entropies. It is shown that the proposed algorithms may improve entropy estimation, particularly in the case of small data sets.