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Entropy rate : ウィキペディア英語版
Entropy rate
In the mathematical theory of probability, the entropy rate or source information rate of a stochastic process is, informally, the time density of the average information in a stochastic process. For stochastic processes with a countable index, the entropy rate ''H''(''X'') is the limit of the joint entropy of ''n'' members of the process ''X''''k'' divided by ''n'', as ''n'' tends to infinity:
:H(X) = \lim_ \frac H(X_1, X_2, \dots X_n)
when the limit exists. An alternative, related quantity is:
:H'(X) = \lim_ H(X_n|X_, X_, \dots X_1)
For strongly stationary stochastic processes, H(X) = H'(X). The entropy rate can be thought of as a general property of stochastic sources; this is the asymptotic equipartition property.
== Entropy rates for Markov chains ==
Since a stochastic process defined by a Markov chain that is irreducible and aperiodic
and persistent has a stationary distribution, the entropy rate is independent of the initial distribution.
For example, for such a Markov chain ''Y''''k'' defined on a countable number of states, given the transition matrix ''P''''ij'', ''H''(''Y'') is given by:
:\displaystyle H(Y) = - \sum_ \mu_i P_ \log P_
where ''μ''''i'' is the stationary distribution of the chain.
A simple consequence of this definition is that an i.i.d. stochastic process has an entropy rate that is the same as the entropy of any individual member of the process.

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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