Nonlinear Measures of Statistical Dependence (Maximum Information Dimension)

Summary

An estimation algorithm for MID (Mutual Information Dimension), which measures statistical dependence between two random variables and produces a real-valued score from 0 (weak) to 1 (strong). This algorithm has the following advantages:

• Nonlinear dependencies (and also linear dependences) can be measured,
• Scalable; the average-case time complexity is O(nlogn), where n is the number of data points, and
• Parameter-free.

Code

C implementation can be downloaded here: Downloadcode.zip (ZIP, 421 KB)vertical_align_bottom

Code is also available at external pageGitHubcall_made

Further information and publication

Please see the following article for detailed information and refer it in your published research.