Estimate Mutual Information (MI) between two variables

Computes the mutual information I(X; Y) using either a binning-based histogram estimator or a k-nearest-neighbor (KSG) estimator.

Usage

mi(x, y, method = c("binning", "knn"), bins = 10, k = 3, ...)

Arguments

x

Numeric vector (first variable).

y

Numeric vector (second variable).

method

Estimation method: "binning" (default) or "knn".

bins

Number of bins per dimension for the binning method (default 10).

k

Number of nearest neighbors for the kNN method (default 3).

...

Additional arguments (currently unused).

Value

A numeric MI value in nats (natural log units).

References

Kraskov, Stögbauer & Grassberger (2004) Phys. Rev. E 69:066138.

Examples

set.seed(42)
x <- rnorm(100)
y <- x + rnorm(100, 0, 0.5)
mi(x, y)
#> [1] 1.011395
mi(x, y, method = "knn", k = 5)
#> [1] 0.9244922