Effective support size

Details Effective support size Effective support size

2006-05-05

arxiv.org/abs/math/0605146v1

Mathematics

Statistics Theory

Scientific paper

Notion of effective size of support (Ess) of a random variable is introduced. A small set of natural requirements that a measure of Ess should satisfy is presented. The measure with prescribed properties is in a direct (exp-) relationship to the family of Renyi's $\alpha$-entropies. Question of selecting the value of $\alpha$ most appropriate for the purpose of measuring Ess is briefly addressed.

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