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pwollstadt / IDTxl

The Information Dynamics Toolkit xl (IDTxl) is a comprehensive software package for efficient inference of networks and their node dynamics from multivariate time series data using information theory.
http://pwollstadt.github.io/IDTxl/
GNU General Public License v3.0
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Total correlation #73

Closed oleg-kachan closed 2 years ago

oleg-kachan commented 2 years ago

Can I compute total correlation, i.e.

TC(X_1, X_2, X_3) = \sum_i=1^3 H(X_i) - H(X_1, X_2, X_3)

with IDTxl? Isn't is idtxl.multivariate_mi.MultivariateMI?

If so, how can I compute just the above value, without any excessive computations such as statistical tests, p-values, different lags, etc.? Just for 3 univariate vectors/time series X_i, with no lags?

Thanks.

pwollstadt commented 2 years ago

Hi @oleg-kachan, IDTxl offers basic estimators for mutual information from two (sets of) variables (have a look at the demo or the Wiki page for details). However, we don't implement estimators for the total correlation.

I would close this issue since it is more about usage and not reporting a bug. If you have further questions or would like to discuss this question in depth, consider our Google Groups mailing list. If you have trouble with the code, please reopen or start a new issue.

Thanks, Patricia