I am trying to calculate mutual information on two observed continuous variables X and Y, which I believe to be dependent.
The formula relies on p(x,y): the joint probability density function of X and Y
Can I calculate p(x,y) from the observed values alone? (without knowing the real population distributions, or real dependency amount)
Can I use this general wikipedia formula:
Or the dependecies between X and Y require a different approach?
I am a beginner in stats so please try to be not too technical. An answer with R code would be awesome!