Mutual information as a measure of multivariate association: analytical properties and statistical estimation

DOI10.1080/00949655.2011.575782zbMath1431.62248MaRDI QIDQ5300813

Friedrich Schmid, Thomas Blumentritt

Publication date: 28 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.575782

zbMATH Keywords

histogram; mutual information; Monte Carlo simulation; Kullback-Leibler divergence; nonparametric estimation; nearest neighbour estimator; Bernstein estimator; copula density; beta kernel

Mathematics Subject Classification ID

62G07: Density estimation

62G20: Asymptotic properties of nonparametric inference

62H20: Measures of association (correlation, canonical correlation, etc.)

62H05: Characterization and structure theory for multivariate probability distributions; copulas

Related Items

Non-parametric estimation of copula based mutual information, Testing independence based on Bernstein empirical copula and copula density, Information measures of kernel estimation, Non-parametric estimation of mutual information through the entropy of the linkage, New copulas based on general partitions-of-unity and their applications to risk management, Comparison, utility, and partition of dependence under absolutely continuous and singular distributions, A note on the notion of informative composite density

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Beta kernel estimators for density functions
• A multivariate version of Hoeffding's phi-square
• An introduction to copulas.
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Multivariate extensions of Spearman's rho and related statistics
• Estimation of entropy and other functionals of a multivariate density
• Asymptotic properties of the Bernstein density copula estimator for \(\alpha \)-mixing data
• On near neighbour estimates of a multivariate density
• Majorization, randomness and dependence for multivariate distributions
• On the estimation of entropy
• An asymptotic test of independence for multivariate \(t\) and Cauchy random variables with applications
• A measure of total variability for the multivariate \(t\) distribution with applications to finance
• An informational measure of correlation
• Beta-Bernstein Smoothing for Regression Curves with Compact Support
• Consistency of the beta kernel density function estimator
• THE BERNSTEIN COPULA AND ITS APPLICATIONS TO MODELING AND APPROXIMATIONS OF MULTIVARIATE DISTRIBUTIONS
• Estimation of the information by an adaptive partitioning of the observation space
• Predictability: An Information-Theoretic Perspective
• A Nonparametric Estimate of a Multivariate Density Function
• Simulating from Exchangeable Archimedean Copulas
• On Information and Sufficiency
• An Application of Information Theory to Multivariate Analysis