A COMPARISON OF MULTIVARIATE MUTUAL INFORMATION ESTIMATORS FOR FEATURE SELECTION
Gauthier Doquire, Michel Verleysen · 2012
Abstract: Mutual Information estimation is an important task for many data mining and machine learning applications. In particular, many feature selection algorithms make use of the mutual information criterion and could thus benefit greatly from a reliable way to estimate this criterion. More precisely, the multivariate mutual informa-tion (computed between multivariate random variables) can naturally be combined with very popular search procedure such as the greedy forward to build a subset of the most relevant features. Estimating the mutual information (especially through density functions estimations) between high-dimensional variables is however a hard task in practice, due to the limited number of available data points for real-world problems. This paper compares different popular mutual information estimators and shows how a nearest neighbors-based estimator largely outperforms its competitors when used with high-dimensional data. 1