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Information estimation using nonparametric copulas
Houman Safaai, Arno Onken, Christopher D. Harvey, Stefano Panzer · 2018-07-21 · via cs.IT updates on arXiv.org

Estimation of mutual information between random variables has become crucial in a range of fields, from physics to neuroscience to finance. Estimating information accurately over a wide range of conditions relies on the development of flexible methods to describe statistical dependencies among variables, without imposing potentially invalid assumptions on the data. Such methods are needed in cases that lack prior knowledge of their statistical properties and that have limited sample numbers. Here we propose a powerful and generally applicable information estimator based on non-parametric copulas. This estimator, called the non-parametric copula-based estimator (NPC), is tailored to take into account detailed stochastic relationships in the data independently of the data's marginal distributions. The NPC estimator can be used both for continuous and discrete numerical variables and thus provides a single framework for the mutual information estimation of both continuous and discrete data. By extensive validation on artificial samples drawn from various statistical distributions, we found that the NPC estimator compares well against commonly used alternatives. Unlike methods not based on copulas, it allows an estimation of information that is robust to changes of the details of the marginal distributions. Unlike parametric copula methods, it remains accurate regardless of the precise form of the interactions between the variables. In addition, the NPC estimator had accurate information estimates even at low sample numbers, in comparison to alternative estimators. The NPC estimator therefore provides a good balance between general applicability to arbitrarily shaped statistical dependencies in the data and shows accurate and robust performance when working with small sample sizes.