I am relatively new to machine learning and would like to know if anyone has a quick answer for my question.

I have pairs of two signals (with measurement noises) and wonder what would be the best way to test if those two signals are correlated or not, in a rather model-free, non-parametric way. If I pretend to be a bit more formal, I wonder how to estimate the mutual information between two random processes from sample pairs.

Any comment will be highly appreciated.

Best,

AV

I have pairs of two signals (with measurement noises) and wonder what would be the best way to test if those two signals are correlated or not, in a rather model-free, nonparametric way. If I pretend to be a bit more formal, I wonder how to estimate the mutual information between two random processes from sample pairs.