A function to perform a parallel estimation of the mutual information
of vectors x and y using entropy estimates from K-nearest neighbor
distances.
Usage
knnmi(x, y, k=3, noise=1e-12)
Arguments
x
a numeric vector.
y
a numeric vector with the same length of x.
k
the number of nearest neighbors to be considered to estimate the
mutual information. Must be less than the number of elements of x.
noise
the magnitude of the random noise added to break ties.
Details
The function adds a small random noise to the data in order to break ties due
to limited numerical precision.
By default, the function uses all available cores. You can
set the actual number of threads used to N by exporting the
environment variable OMP_NUM_THREADS=N.
References
Kraskov, Alexander and Stogbauer, Harald and Grassberger, Peter.
Estimating mutual information. Phys. Rev. E, 2004.