Sample entropy (Vasicek, 1976) has poor performance, and several nonparametric entropy estimators have been proposed as alternatives. In this paper, we consider a piecewise uniform density function based on quantiles, which enables us to evaluate entropy in each interval, and study the poor performance of the sample entropy in terms of the poor estimation of lower and upper quantiles. Then we propose some improved entropy estimators by simply modifying the quantile estimators, and compare their performances with some existing estimators.

Local linear jump detection in a discontinuous regression function involves the choice of the bandwidth and the performance of a local linear jump detector depends heavily on the choice of the bandwidth. However, little attention has been paid to this important issue. In this paper we propose two fully data adaptive bandwidth selection methods for a local linear jump detector. The performance of the proposed methods are investigated through a simulation study.