Related papers: Estimation of time-delayed mutual information and …
This paper addresses how to calculate and interpret the time-delayed mutual information for a complex, diversely and sparsely measured, possibly non-stationary population of time-series of unknown composition and origin. The primary vehicle…
Estimation of mutual information between (multidimensional) real-valued variables is used in analysis of complex systems, biological systems, and recently also quantum systems. This estimation is a hard problem, and universally good…
We construct and analyze symmetrized delay correlation matrices for empirical data sets for atmopheric and financial data to derive information about correlation between different entities of the time series over time. The information about…
Classical distributed estimation scenarios typically assume timely and reliable exchanges of information over the sensor network. This paper, in contrast, considers single time-scale distributed estimation via a sensor network subject to…
Fields like public health, public policy, and social science often want to quantify the degree of dependence between variables whose relationships take on unknown functional forms. Typically, in fact, researchers in these fields are…
We study the mutual information estimation for mixed-pair random variables. One random variable is discrete and the other one is continuous. We develop a kernel method to estimate the mutual information between the two random variables. The…
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…
Mutual information is fundamentally important for measuring statistical dependence between variables and for quantifying information transfer by signaling and communication mechanisms. It can, however, be challenging to evaluate for…
Mutual information is a nonlinear measure used in time series analysis in order to measure the linear and non-linear correlations at any lag $\tau$. The aim of this study is to evaluate some of the most commonly used mutual information…
An algorithm for continuous time-delay estimation from sampled output data and known input of finite energy is presented. The continuous time-delay modeling allows for the estimation of subsample delays. The proposed estimation algorithm…
Time series data that are not measured at regular intervals are commonly discretized as a preprocessing step. For example, data about customer arrival times might be simplified by summing the number of arrivals within hourly intervals,…
Determining the strength of non-linear statistical dependencies between two variables is a crucial matter in many research fields. The established measure for quantifying such relations is the mutual information. However, estimating mutual…
Normalized mutual information is widely used as a similarity measure for evaluating the performance of clustering and classification algorithms. In this paper, we argue that results returned by the normalized mutual information are biased…
Finding interdependency relations between (possibly multivariate) time series provides valuable knowledge about the processes that generate the signals. Information theory sets a natural framework for non-parametric measures of several…
By employing various empirical estimators for the Mutual Information (MI) measure, we calculate and compare the estimates and their confidence intervals for both normal and non-normal bivariate data samples. We find that certain nonlinear…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
We apply a recently proposed method for the analysis of time series from systems with delayed feedback to experimental data generated by a CO_2 laser. The method is able to estimate the delay time with an error of the order of the sampling…
We address the practical problems of estimating the information relations that characterize large networks. Building on methods developed for analysis of the neural code, we show that reliable estimates of mutual information can be obtained…
According to the dominant view, time in perceptual decision making is used for integrating new sensory evidence. Based on a probabilistic framework, we investigated the alternative hypothesis that time is used for gradually refining an…
The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate…