GGMmutualInfo: Mutual information between two sets of variates within a...

Description Usage Arguments Value Author(s) References See Also Examples

View source: R/rags2ridges.R

Description

Function computing the mutual information between two exhaustive and mutually exclusive splits of a set of multivariate normal random variables.

Usage

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GGMmutualInfo(S, split1)

Arguments

S

A positive-definite covariance matrix.

split1

A numeric, indicating the variates (by column number) forming the first split. The second split is automatically formed from its complement.

Value

A numeric, the mutual information between the variates forming split1 and those forming its complement.

Author(s)

Wessel N. van Wieringen, Carel F.W. Peeters <[email protected]>

References

Cover, T.M., Thomas, J.A. (2012), Elements of information theory.

See Also

covML, ridgeP.

Examples

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# create a covariance matrix
Sigma <- covML(matrix(rnorm(100), ncol=5))

# impulse response analysis
GGMmutualInfo(Sigma, c(1,2))

CFWP/rags2ridges documentation built on Sept. 23, 2017, 6:38 a.m.