Non-parametric estimation of copula based mutual information

Baby Alpettiyil Krishnankutty, Rajesh Ganapathy and Paduthol Godan Sankaran

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 6, 1513-1527

Abstract: Mutual information is a measure for investigating the dependence between two random variables. The copula based estimation of mutual information reduces the complexity because it is depend only on the copula density. We propose two estimators and discuss the asymptotic properties. To compare the performance of the estimators a simulation study is carried out. The methods are illustrated using real data sets.

Date: 2020
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DOI: 10.1080/03610926.2018.1563180

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