On mutual information estimation for mixed-pair random variables

Aleksandr Beknazaryan, Xin Dang and Hailin Sang

Statistics & Probability Letters, 2019, vol. 148, issue C, 9-16

Abstract: We study the mutual information estimation for mixed-pair random variables. One random variable is discrete and the other one is continuous. We develop a kernel method to estimate the mutual information between the two random variables. The estimates enjoy a central limit theorem under some regular conditions on the distributions. The theoretical results are demonstrated by simulation study.

Keywords: Central limit theorem; Entropy; Kernel estimation; Mixed-pair; Mutual information (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2018.12.011

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