Provided a p.f. of a discrete random variable, or a joint p.f. for several random variable, is there any software package to calculate the entropy, joint entropy, information content, mutual information, etc? If it can be used in a C# program, that'll be great.
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R has a package called entropy which allows you to calculate quantities such as entropy and mutual information. There is also a module called pyentropy for Python that allows you calculate similar quantities.