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A branch of mathematics/statistics used to determine the information carrying capacity of a channel, whether one that is used for communication or one that is defined in an abstract sense. Entropy is one of the measures by which information theorists can quantify the uncertainty involved in predicting a random variable.

7 votes
5 answers
6k views

Calculating the transfer entropy in R

The transfer entropy, from information theory, is an effective way to measure the one-way information dependence between two variables. A nice high-level summary is here: http://lizier.me/joseph/prese …
Ram Ahluwalia's user avatar
0 votes
Accepted

Calculating the transfer entropy in R

See the .pdf found by Ramnath in comments section: http://users.utu.fi/attenka/TEpresentation081128.pdf
Ram Ahluwalia's user avatar
41 votes
4 answers
40k views

Measures of similarity or distance between two covariance matrices

Are there any measures of similarity or distance between two symmetric covariance matrices (both having the same dimensions)? I am thinking here of analogues to KL divergence of two probability distr …
Ram Ahluwalia's user avatar