A Python package implementing an improved nearest neighbor method for estimating differential entropy for continuous variables. This is a port of the Julia EntropyInvariant package.

• Invariant under change of variables: Scale and translation invariant entropy estimation
• Always positive: Solves Edwin Thompson Jaynes' limiting density of discrete points problem
• Multiple methods: Supports invariant (default), k-NN, and histogram methods

pip install entropy-invariant

Or install from source:

pip install -e .

import numpy as np
from entropy_invariant import entropy, mutual_information

# Generate random data
n = 1000
x = np.random.rand(n)
y = 2 * x + np.random.rand(n)

# Compute entropy (invariant method, default)
h = entropy(x)
print(f"Entropy: {h}")

# Entropy is invariant under scaling and translation
h_scaled = entropy(1e5 * x - 123.456)
print(f"Entropy (scaled): {h_scaled}")  # Same value!

# Mutual information
mi = mutual_information(x, y)
print(f"Mutual Information: {mi}")

# Different methods
h_knn = entropy(x, method="knn")
h_hist = entropy(x, method="histogram", nbins=20)

• entropy(X, method="inv", k=3, base=e, ...) - Unified entropy interface
• entropy_inv(X, ...) - Invariant method (default)
• entropy_knn(X, ...) - k-NN method
• entropy_hist(X, ...) - Histogram method

• conditional_entropy(X, Y, ...) - H(Y|X)
• mutual_information(X, Y, ...) - I(X;Y)
• conditional_mutual_information(X, Y, Z, ...) - I(X;Y|Z)
• normalized_mutual_information(X, Y, ...) - NMI
• interaction_information(X, Y, Z, ...) - Three-way interaction

• redundancy(X, Y, Z, ...) - Shared information
• unique(X, Y, Z, ...) - Unique information
• synergy(X, Y, Z, ...) - Synergistic information

• MI(X, ...) - Pairwise mutual information matrix
• CMI(X, Z, ...) - Pairwise conditional MI matrix

• Felix Truong
• Alexandre Giuliani

MIT