SENECA: Small-Sample Discrete Entropy Estimation via Self-Consistent Missing Mass

Discrete entropy estimation is a classic information theory problem, wherein the average information content of a discrete random variable is estimated from samples alone. Naive approaches, such as the plugin method, fail to account for the probability mass associated with members of the random variable's support that are unobserved in a given sample, known as the "missing mass." The resulting systemic underestimation is particularly problematic when data is time-consuming or costly to gather. We propose SENECA, an entropy estimation scheme based on a novel "self-consistent" missing mass calculation. Extensive numerical experiments indicate that our approach outperforms many state-of-the-art alternatives overall in the small-sample setting. We then apply SENECA to two practical use cases, namely biodiversity estimation and the detection of incorrect large language model responses, where our method is competitive with domain-specific approaches. Our work advances SENECA as an effective drop-in replacement for small-sample entropy estimation, with broad utility across several domains.