计算两个离散时间序列变量间的信息熵和互信息

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计算两个离散时间序列变量间的信息熵和互信息

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To compute the information entropy and mutual information between two discrete time series variables, one can follow the following steps:

1. First, discretize the continuous time series variables if they are continuous.

2. Compute the probability distribution of each variable by counting the frequency of each value.

3. Compute the joint probability distribution of the two variables by counting the frequency of each pair of values.

4. Compute the information entropy of each variable using the probability distribution.

5. Compute the joint entropy of the two variables using the joint probability distribution.

6. Compute the mutual information between the two variables using the information entropy and joint entropy.

By following these steps, one can obtain a more detailed understanding of the relationship between the two discrete time series variables.