Conservation of mutual and directed information

Abstract

Two conservation laws for mutual information in terms of directed informations between two synchronized sequences of random variables are derived, the first for the case of no conditioning and the second for the case of causal conditioning on a third synchronized sequence. As a byproduct of the derivation of the first conservation law, the directed information specifying the feedback flowing from the second sequence to the first sequence is identified, which leads to a simple proof that a previously known sufficient condition for equality of mutual and directed information is also a necessary condition