Understanding the computations performed by neuronal circuits requires characterizing the strength and dynamics of the connections between individual neurons. This characterization is typically achieved by measuring the correlation in the activity of two neurons. We have developed a new measure for studying connectivity in neuronal circuits based on information theory, the incremental mutual information (IMI). By conditioning out the temporal dependencies in the responses of individual neurons before measuring the dependency between them, IMI improves on standard correlation-based measures in several important ways: 1) it has the potential to disambiguate statistical dependencies that reflect the connection between neurons from those caused by other sources (e.g. shared inputs or intrinsic cellular or network mechanisms) provided that the dependencies have appropriate timescales, 2) for the study of early sensory systems, it does not require responses to repeated trials of identical stimulation, and 3) it does not assume that the connection between neurons is linear. We describe the theory and implementation of IMI in detail and demonstrate its utility on experimental recordings from the primate visual system.