rags2ridges: GGMmutualInfo – R documentation

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GGMmutualInfo

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

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 `matrix`.
`split1`	A `numeric`, indicating the variates (by column number) forming the first split. The second split is automatically formed from its complement.

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

Wessel N. van Wieringen, Carel F.W. Peeters <cf.peeters@vumc.nl>

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

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

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

Ridge Estimation of Precision Matrices from High-Dimensional Data

v2.2.4

GPL (>= 2)

Authors

Carel F.W. Peeters [cre, aut], Anders Ellern Bilgrau [aut], Wessel N. van Wieringen [aut]

Initial release