A New Estimator of Entropy

In this paper we propose an estimator of the entropy of a continuous random variable. The estimator is obtained by modifying the estimator proposed by Vasicek (1976). Consistency of estimator is proved, and comparisons are made with Vasicek s estimator (1976), van Es s estimator (1992), Ebrahimi et al. s estimator (1994) and Correa s estimator (1995). The results indicate that the proposed estimator has smaller mean squared error than above estimators