LSMI Class |
Least Squares Mutual Information Approximation model.
Use density ratio approximation to approximate alternative version of mutual information between two scalar series.
Use Cross Validation to select model parameters.
Algorithm was described in paper:
Mutual Information Estimation Reveals Global Associations between Stimuli and Biological Processes. Taiji Suzuki 2009.
Inheritance HierarchySystemObject
FinMath.FactorAnalysisLSMI
FinMath.FactorAnalysisLSMI
Namespace: FinMath.FactorAnalysis
Assembly: FinMath (in FinMath.dll) Version: 2.4.7-0a995bd0ea1854c2c868ec3f8dae606c5777e170
SyntaxC#
[SerializableAttribute] public class LSMI
The LSMI type exposes the following members.
Constructors| Name | Description | |
|---|---|---|
 | LSMI(Double, Double) |
Calculate Mutual Information between series X and Y.
|
| LSMI(Double, Double, Double, Double, Boolean, Int32, Int32) |
Calculate Mutual Information between series X and Y.
|
Properties| Name | Description | |
|---|---|---|
 | MutualInformation |
Approximation of Mutual Information between two series.
|
Methods| Name | Description | |
|---|---|---|
| Equals | Determines whether the specified object is equal to the current object. (Inherited from Object.) |
| GetHashCode | Serves as the default hash function. (Inherited from Object.) |
| GetType | Gets the Type of the current instance. (Inherited from Object.) |
 | LogSpace |
The logspace function generates logarithmically spaced vectors.
Especially useful for creating frequency vectors.
Generates n points between decades 10^a and 10^b.
|
| OutSampleValidate |
Estimate goodness of model fitness on new samples.
|
| ToString | Returns a string that represents the current object. (Inherited from Object.) |
See Also