Comment by mellavora
4 years ago
Instead of mutual information, can I recommend the Transfer Entropy?
https://journals.aps.org/prl/abstract/10.1103/PhysRevLett.85...
https://en.wikipedia.org/wiki/Transfer_entropy
It is designed for time series, but can be adopted to a more general case. The advantage over MI is that with MI, you could only see that A and B are related, while TE can show that A dives B, but not the reverse.
arxiv link: https://arxiv.org/abs/nlin/0001042