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1 vote

### Measure the Mutual Information between two variables that is also shared by a third variable

I know of two points that might be relevant to your question: First, there is the data processing inequality, which, for a Markov chain $X\to Y\to Z$ states: $$I(X, Y) \ge I(X, Z).$$ This gives you ...
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### Mutual information relationship to copula entropy is borked?

I'll try to provide some intuition: As you already mentioned, differential entropy may become negative and that is exactly what happens here. Recap that differential entropy is some measure for the ...
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