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Pertains to a large number of features or dimensions (variables) for data. (For a large number of data points, use the tag [large-data]; if the issue is a larger number of variables than data, use the [underdetermined] tag.)

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Estimating the mutual information in high dimension when all but one variable are iid

I have a function $f(x_{1},\dots,x_{n})$ where $n$ is large and I would like to estimate the mutual information between the random variable $f(X_{1},\dots,X_{n})$ and the independent and identically d …
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Estimating the mutual information in high dimension when all but one variable are iid

Ah....actually it seems to be extremely (read embarrassingly) simple. It seems I can just write $$ I(f(X_{1},\dots,X_{n};X_{1},\dots,X_{n}) \equiv H(f(X_{1},\dots,X_{n}))-H(f(X_{1},\dots,X_{n})|X_{1}, …
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