Multivariate Normal Mutual Informations
Why
What is the differential mutual information between two components of a multivariate normal?
Result
Let $g \sim \normal{\mu }{\Sigma }$.
Then the mutual information between
component $i$ and component $j$ is
\[ -\frac{1}{2}\ln(1 - \rho _{ij}^2) \]
where $\rho _{ij}$ is the correlation between components $i$ and $j$.