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

In CFWP/rags2ridges: Ridge Estimation of Precision Matrices from High-Dimensional Data

Mutual information between two sets of variates within a multivariate normal distribution

Description

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

Usage

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 <[e-mail]>

References

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

See Also

covML, ridgeP.

Examples

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

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

CFWP/rags2ridges documentation built on Oct. 21, 2023, 10:19 a.m.