Quantities of Information - Differential Entropy

Differential Entropy

See main article: Differential entropy.

The basic measures of discrete entropy have been extended by analogy to continuous spaces by replacing sums with integrals and probability mass functions with probability density functions. Although, in both cases, mutual information expresses the number of bits of information common to the two sources in question, the analogy does not imply identical properties; for example, differential entropy may be negative.

The differential analogies of entropy, joint entropy, conditional entropy, and mutual information are defined as follows:

where is the joint density function, and are the marginal distributions, and is the conditional distribution.

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