I need to calculate the entropy of 100 instances of 5 sensor signals in python. The sensor values take real numbers. After doing some literature search, I suppose I need to compute joint differential entropy. For this, I should estimate a multivariate probability density function defining my sensor values. Since I do not have a sound knowledge on information theory, I cannot validate my thoughts. Please guide me how to achieve this.
P.S. I am looking for theoretical suggestions and not related to coding.