[R] entropy and conditional entropy for continous variables

[Rajarshi Guha]

Hi,
  this is not a R question per se, but since I'm on the lookout for an R
solution I thought this was the best place:

I would like to calculate the entropy for a variable and the conditional
entropy between two variables, H(X|Y) for variables X & Y

I have coded the case for the categorical case but I'm having problems
understanding how to do it for the continous case.

>From what I understand, for continous variables the entropy would be

\integral_{A} f(x) log( f(x) ) dx

where f(x) is the density of X and A is the support.

I have tried obtaining the density of X by using the density estimation
methods of the KernSmooth package and then doing a numerical integration
- however I am confused about how to interpret the support in this
context.

So the question  is, are there any R functions to determing the entropy
and conditional entropy for continous variables? (Searching CRAN did not
turn up anything significant)

Thanks,



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Rajarshi Guha <rxg218 at psu.edu> <http://jijo.cjb.net>
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