Recommended Mutual Information Estimator for Continuous Variable The mutual information seems to be quite an interesting measure of the relationship between variables. As such I wanted to apply it to investigate the relationship of two continuous variables $X$ and $Y$ for which I only have a hundred observations. In particular, I would like to obtain a normed version of the mutual information such that it is $1$ in the case of perfect dependence. I guess this means that the entropy of $X$ and $Y$ also need to be estimated.
After doing some research, I realized that estimating the (unnormalized) mutual information of two continuous variables is highly nontrivial. As a result, multiple competing approaches exists. Khan et al (2007) provides an overview of some of them. This paper also compares multiple approaches under different settings and makes recommendations when to use which approach. However, this paper is already 12 years old and since then new estimators have been developed; for example, Belghazi et al (2018). So, is anybody active in this field and can provide a recommendation which estimator is currently to be preferred (in which situation)? Ideally, I would also like to obtain a confidence interval for the normed mutual information.
 A: I am not sure i understand why this should be a very hard problem, at least in such a low-dimensional setting as you describe. I am not active in the fields of those who have authored the articles you cite, but I do not see why this could not be framed as a relatively simple statistical problem. An idea you could (perhaps) follow, is to relate it to the copula of $X$ and $Y$. The mutual information of $X$ and $Y$ is the Kullbach-Leibler divergence of their actual joint density $f(x, y),$ and their joint density under the assumption of independence $f^*(x, y) = f(x)f(y).$ If you write $$F(x, y) = C(F(x), G(y)),$$ (where $C$ is called a copula, and this is for a continous bivariate random vector a unique representation) such that $$f(x, y) = c(F(x), G(y))f(x)g(y),$$ 
where $c(u, v) = \frac{\partial C}{\partial u \partial v}(u, v)$ is the copula density of $X$ and $Y$,
then their mutual information can be written as
\begin{align*}
I(X, Y) &= \underset{\mathbb{R}^2}{\int\int}\log\left(\frac{f(x, y)}{f(x)f(y)}\right)f(x, y)dxdy\\
&=\underset{\mathbb{R}^2}{\int\int}\log\left(c(F(x), G(y)\right)c(F(x), G(y))f(x)f(y)dxdy\\
&=\underset{\mathbb{I}^2}{\int\int}\log\left(c(u, v)\right)c(u, v)dudv\\
&= \mathbb{E}_{C}\left(\log\left(c(U, V)\right)\right).
\end{align*}
I would suggest to use the semiparametric approach where you first compute the so called pseudo observations $\hat F(x) = \frac{1}{n-1}\sum_{i=1}^nI(x_i < x),$ $\hat G(y) = \frac{1}{n-1}\sum_{i=1}^nI(y_i < y),$ and then try to find some parametric copula $C_\theta$ that fits well to $(U^*, V^*) = (\hat F(X), \hat G(Y)).$ Then, you can estimate the mutual information by computing the integral above by numerical integration, or Monte Carlo methods, replacing $c$ and $C$ by $c_{\hat\theta}$ and $C_{\hat\theta}.$ If you estimate $I(X, Y)$ by sampling from the estimated copulas, you could get a confidence interval by repeatedly doing this based on, say, $100$ samples from $C_\hat\theta,$  and then
using empirical quantiles of these estimates.
I am not sure about a normed mutual information. I do not know if it is possible to compute bounds on the mutual information, and I am not sure how to compute the mutual information between two perfectly dependent random variables, as this would correspond to computing the expectation of the log-copula density of either of $M(u, v) = \min(u, v)$ or $W(u, v) = \max(u + v -1 , 0),$ which do not exist as these are not absolutely continous probability measures.
