Nonparametric independence testing via mutual information

17 Nov 2017Thomas B. BerrettRichard J. Samworth

We propose a test of independence of two multivariate random vectors, given a sample from the underlying population. Our approach, which we call MINT, is based on the estimation of mutual information, whose decomposition into joint and marginal entropies facilitates the use of recently-developed efficient entropy estimators derived from nearest neighbour distances... (read more)

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