Estimating Mutual Information via Geodesic $k$NN

Abstract: Estimating mutual information (MI) between two continuous random variables $X$ and $Y$ allows to capture non-linear dependencies between them, non-parametrically. As such, MI estimation lies at the core of many data science applications. Yet, robustly estimating MI for high-dimensional $X$ and $Y$ is still an open research question. In this paper, we formulate this problem through the lens of manifold learning. That is, we leverage the common assumption that the information of $X$ and $Y$ is captured by a low-dimensional manifold embedded in the observed high-dimensional space and transfer it to MI estimation. As an extension to state-of-the-art $k$NN estimators, we propose to determine the $k$-nearest neighbors via geodesic distances on this manifold rather than from the ambient space, which allows us to estimate MI even in the high-dimensional setting. An empirical evaluation of our method, G-KSG, against the state-of-the-art shows that it yields good estimations of MI in classical benchmark and manifold tasks, even for high dimensional datasets, which none of the existing methods can provide.