Fisher Information and Shannon Entropy

Calculate Fisher Information [∫(∂f(x)/∂x)^2*dx/f(x)] and Shannon Entropy [∫ - p(x) * log(p(x)) * dx].

Calculate Fisher Information [∫(∂f(x)/∂x)^2*dx/f(x)] and Shannon Entropy [∫ - p(x) * log(p(x)) * dx].

Example:

shannonentropy(data)

fisherinformation(data)

Hints:

data has to be column vector (N by 1)

Modify 'MaxIntervalCount' or 'AbsoluteTolerance' (maybe 'RelativeTolerance' in quadgk) if it is too slow.

This is a product of CGRG-lab, contributed by Zheng-Kai Ye.