I recently computed both the pearson coefficient and the mutual information of two time series as well as the corresponding error bars, and what I find out in the end is a significant level of correlation for the pearson r (0.25, with the upper limit of the 95% confidence interval being 0.114), whereas the mutual information shows no significant correlations.
Is this possible or did I make a mistake ? I understand pretty well what pearson's r is but I find the concept of mutual information a bit harder to grasp and it can be that I misunderstood something.
