Very fast implementation of average mutual information.
Calculates the mutual average information of x and y with a possible lag.
v is the average mutual information. (relative units see below)
x & y is the time series. (column vectors)
lag is a vector of time lags.
(A peak in V for lag>0 means y is leading x.)
v is given as how many bits x and y has in common relative to how
many bits is needed for the internally binned representation of x or y.
This is done to make the result close to independent bin size.
For optimal binning: transform x and y into percentiles prior to running
ami. See boxpdf at matlab central.
Aslak Grinsted feb2006
(Inspired by mai.m by Alexandros Leontitsis)
Aslak Grinsted (2021). Average mutual information (https://www.mathworks.com/matlabcentral/fileexchange/10040-average-mutual-information), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
Inspired by: Mutual Average Information
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!Start Hunting!