Estimation of Directed Information to Processes Assuming Continuous Values with CTW Algorithm

This paper introduces the use of a directed infor- mation estimator for discrete-valued processes to continuous- valued processes by previously discretizing the continuous-valued processes according to three different and generally applicable methods. The directed information estimator uses context tree weighting algorithm (CTW). The three discretization methods are called equidistant, equipopulated and symbolic methods. Simu- lated results indicate that faster and more conservative results are found by using few discretization levels with equipopulated method.