Instead of mutual information, can I recommend the Transfer Entropy? https://journals.aps.org/prl/abstract/10.1103/PhysRevLett.85.461 https://journals.aps.org/

Instead of mutual information, can I recommend the Transfer Entropy? https://journals.aps.org/prl/abstract/10.1103/PhysRevLett.85.461 https://journals.aps.org/prl/abstract/10.1103/PhysRevLett.85... https://en.wikipedia.org/wiki/Transfer_entropy https://en.wikipedia.org/wiki/Transfer_entropy It is designed for time series, but can be adopted to a more general case. The advantage over MI is that with MI, you could only see that A and B are related, while TE can show that A dives B, but not the reverse.