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Non–Parametric Estimation of Mutual Information through the Entropy of the Linkage
Department of Mathematics, University of Torino, Via Carlo Alberto 10, Torino 10123, Italy
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Received: 25 September 2013; in revised form: 30 October 2013 / Accepted: 11 November 2013 / Published: 26 November 2013
Abstract: A new, non–parametric and binless estimator for the mutual information of a d–dimensional random vector is proposed. First of all, an equation that links the mutual information to the entropy of a suitable random vector with uniformly distributed components is deduced. When d = 2 this equation reduces to the well known connection between mutual information and entropy of the copula function associated to the original random variables. Hence, the problem of estimating the mutual information of the original random vector is reduced to the estimation of the entropy of a random vector obtained through a multidimensional transformation. The estimator we propose is a two–step method: first estimate the transformation and obtain the transformed sample, then estimate its entropy. The properties of the new estimator are discussed through simulation examples and its performances are compared to those of the best estimators in the literature. The precision of the estimator converges to values of the same order of magnitude of the best estimator tested. However, the new estimator is unbiased even for larger dimensions and smaller sample sizes, while the other tested estimators show a bias in these cases.
Keywords: information measures; mutual information; entropy; copula function; linkage function; kernel method; binless estimator
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Giraudo, M.T.; Sacerdote, L.; Sirovich, R. Non–Parametric Estimation of Mutual Information through the Entropy of the Linkage. Entropy 2013, 15, 5154-5177.
Giraudo MT, Sacerdote L, Sirovich R. Non–Parametric Estimation of Mutual Information through the Entropy of the Linkage. Entropy. 2013; 15(12):5154-5177.
Giraudo, Maria T.; Sacerdote, Laura; Sirovich, Roberta. 2013. "Non–Parametric Estimation of Mutual Information through the Entropy of the Linkage." Entropy 15, no. 12: 5154-5177.