Mutual Information
KNN Mutual Information Estimators.
mutinfo(X, Y, k=10, direct=TRUE)
X |
an input data matrix. |
Y |
an input data matrix. |
k |
the maximum number of nearest neighbors to search. The default value is set to 10. |
direct |
Directly compute or via entropies. |
The direct computation is based on the first estimator of A. Kraskov, H. Stogbauer and P.Grassberger (2004) and the indirect computation is done via entropy estimates, i.e., I(X, Y) = H (X) + H(Y) - H(X, Y). The direct method has smaller bias and variance but the indirect method is faster, see Evans (2008).
For direct method, one mutual information estimate;
For indirect method,a vector of length k for mutual information estimates using 1:k nearest neighbors, respectively.
Shengqiao Li. To report any bugs or suggestions please email: lishengqiao@yahoo.com.
A. Kraskov, H. Stogbauer and P.Grassberger (2004). “Estimating mutual information”. Physical Review E, 69:066138, 1–16.
D. Evans (2008). “A Computationally efficient estimator for mutual information”. Proc. R. Soc. A, 464, 1203–1215.
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