Information Theory and Coding > Entropy > What is Chain rule of Mutual Information?

Chain Rule for Mutual Information

Conditional mutual information of random variables X given  Y defined by

I (X; Y ) = H (X ) − H (X|Y) = H (Y ) − H (Y|X)

Conditional mutual information of random variables X and Y given Z is defined by

I (X; Y|Z) = H (X|Z) − H (X|Y,Z)

Conditional mutual information of random variables X₁ , X₂  X_{3   …..} X_n and Y is defined by

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