Information decomposition

Notes:

  • the weighted information gains show the amount of information from a given frequency band as a \(\%\) of the total information about a given shock.
  • the information gains show the amount of information from a given frequency band as a \(\%\) of the total variance originating from that frequency band.
  • the weights are given by variance originating in a given frequency band as a \(\%\) of the total variance of the shock
  • in this model the information gains are \(100\%\), therefore the weighted gains simply replicate the weights.


Information contributions