information-analysis

Implementation of Shannon entropy and Fisher information with Matlab.

Matlab and toolbox version

• MATLAB 9.7 (MATLAB R2019b)
• Statistics and Machine Learning Toolbox 11.6

Develop

1. Open information-analysis.prj in the Matlab IDE, this will open a new environment for information-analysis project (i.e. add new search paths when opening prj file, remove paths when closing prj file)
2. Modify source code in src directory.
3. Modify m-files in test directory to fit your test cases.
4. Run run_all_tests located in the test directory to run the tests

References

• MathWorks Blogs: Complex Step Differentiation
• http://www.johnlapeyre.com/posts/complex-step-differentiation/
• Telesca, L. & Lovallo, M. (2017) On the performance of Fisher Information Measure and Shannon entropy estimators. Physica A: Statistical Mechanics and its Applications, 484, 569–576, Elsevier.