GGMmutualInfo | R Documentation |
Function computing the mutual information between two exhaustive and mutually exclusive splits of a set of multivariate normal random variables.
GGMmutualInfo(S, split1)
S |
A positive-definite covariance |
split1 |
A |
A numeric
, the mutual information between the variates
forming split1
and those forming its complement.
Wessel N. van Wieringen, Carel F.W. Peeters <carel.peeters@wur.nl>
Cover, T.M., Thomas, J.A. (2012), Elements of information theory.
covML
, ridgeP
.
# create a covariance matrix
Sigma <- covML(matrix(rnorm(100), ncol=5))
# impulse response analysis
GGMmutualInfo(Sigma, c(1,2))
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