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


Information contributions

Most informative variables