Estimation of the information by an adaptive partitioning of the observation space
Georges A. Darbellay, Igor Vajda · IEEE Transactions on Information Theory · 1999
We demonstrate that it is possible to approximate the mutual information arbitrarily closely in probability by calculating the relative frequencies on appropriate partitions and achieving conditional independence on the rectangles of which the partitions are made. Empirical results, including a comparison with maximum-likelihood estimators, are presented.