Distribution of mutual information

Henry D.I. Abarbanel, Naoki Masuda, M. I. Rabinovich*, Evren Tumer

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

29 Citations (Scopus)

Abstract

In the analysis of time series from nonlinear sources, mutual information (MI) is used as a nonlinear statistical criterion for the selection of an appropriate time delay in time delay reconstruction of the state space. MI is a statistic over the sets of sequences associated with the dynamical source, and we examine here the distribution of MI, thus going beyond the familiar analysis of its average alone. We give for the first time the distribution of MI for a standard, classical communications channel with Gaussian, additive white noise. For time series analysis of a dynamical system, we show how to determine the distribution of MI and discuss the implications for the use of average mutual information (AMI) in selecting time delays in phase space reconstruction.

Original languageEnglish
Pages (from-to)368-373
Number of pages6
JournalPhysics Letters, Section A: General, Atomic and Solid State Physics
Volume281
Issue number5-6
DOIs
Publication statusPublished - 2001 Apr 2
Externally publishedYes

ASJC Scopus subject areas

  • Physics and Astronomy(all)

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