We present IDTxl (the Information Dynamics Toolkit xl), a new open source Python toolbox for effective network inference from multivariate time series using information theory, available from GitHub (https://github.com/pwollstadt/IDTxl).
Information theory (Cover & Thomas, 2006; MacKay, 2003; Shannon, 1948) is the math- ematical theory of information and its transmission over communication channels. In- formation theory provides quantitative measures of the information content of a single random variable (entropy) and of the information shared between two variables (mutual information). The defined measures build on probability theory and solely depend on the probability distributions of the variables involved. As a consequence, the dependence between two variables can be quantified as the information shared between them, without the need to explicitly model a specific type of dependence. Hence, mutual information is a model-free measure of dependence, which makes it a popular choice for the analysis of systems other than communication channels.
