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International Journal of Statistika and Mathematika, ISSN: 2277- 2790 E-ISSN: 2249-8605
Volume 5, Issue 2, March 2013 pp 27-30
Nonparametric Estimation of Mutual Information and Test for Independence
Deemat C Mathew
University of Hyderabad, Andhra Pradesh, INDIA.
Academic Editor: Dr. Dase R.K.
Mutual information is a concept in information theory which may help us to define independence. We present estimators of mutual information of continuous random variables with heavy tails based on histogram and describe their asymptotic properties. Under appropriate assumptions on the tail behavior of the random variables, we obtain root N consistency of the estimators. We analyses the usefulness of this measure in testing statistical dependence.