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calculating joint entropy of many variables

You may want to use this for basic measures :
http://cran.r-project.org/web/packages/entropy/
from http://strimmerlab.org/software/entropy/
Look at their paper, it may give you some idea 
Before going into more complicated cases,
http://arxiv.org/PS_cache/arxiv/pdf/0811/0811.3579v3.pdf
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