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Mutual Information Class

MutualInformation class provides five constructors to initialize an instance to operate either with expanding or sliding data set.

The following constructors imply an expanding data set and either the default or user-specified number of observations before recalculating MutualInformation measured in data points:

MutualInformation

MutualInformation

useDelta parameter indicates that we must use delta function instead of Gaussian for second series. It makes sense when the second series is discrete.

The constructor to define updatePeriodicity in time units is the following:

MutualInformation

To operate with sliding data sets, it is necessary to define the sliding window size value either as a time period or a number of data points in the following constructors:

MutualInformation

MutualInformation

Recalculation of the indicator value is done in standard way with Add(…) methods either time assigned or not (but not both for a given instance).

Indicator value is updated by adding two values corresponding to the variables considered:

Add(Double, Double, DateTime)

Add(Double, Double)

The returned value is true if modification was successful.

Every modification changes the current value available via class property:

MI