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Non-parametric estimation of copula based mutual information

Author

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  • Baby Alpettiyil Krishnankutty
  • Rajesh Ganapathy
  • Paduthol Godan Sankaran

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.

Suggested Citation

  • Baby Alpettiyil Krishnankutty & Rajesh Ganapathy & Paduthol Godan Sankaran, 2020. "Non-parametric estimation of copula based mutual information," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(6), pages 1513-1527, March.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:6:p:1513-1527
    DOI: 10.1080/03610926.2018.1563180
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