Mutual information

Information theory · Formula · Not yet linked from a lesson

I(X;Y)=∑x,yp(x,y)log⁡p(x,y)p(x) p(y)I(X; Y) = \sum_{x, y} p(x, y) \log \frac{p(x, y)}{p(x)\, p(y)}

How many bits knowing one variable saves you on the other. Unlike correlation it catches any kind of dependence, not just linear ones, and it is symmetric in its two arguments.

Symbols

p(x,y)p(x, y)
The joint distribution.
p(x)p(y)p(x)p(y)
What the joint would be if the two were independent.
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