Information estimates such as the direct method of Strong, Koberle, de Ruyter van Steveninck, and Bialek (1998) sidestep the difficult problem of estimating the joint distribution of response and stimulus by instead estimating the difference between the marginal and conditional entropies of the response. While this is an effective estimation strategy, it tempts the practitioner to ignore the role of the stimulus and the meaning of mutual information. We show here that as the number of trials increases indefinitely, the direct (or plug-in) estimate of marginal entropy converges (with probability 1) to the entropy of the time-averaged conditional distribution of the response, and the direct estimate of the conditional entropy converges to the time-averaged entropy of the conditional distribution of the response. Under joint stationarity and ergodicity of the response and stimulus, the difference of these quantities converges to the mutual information. When the stimulus is deterministic or nonstationary the direct estimate of information no longer estimates mutual information, which is no longer meaningful, but it remains a measure of variability of the response distribution across time.