Estimation of mutual information for real-valued data with error bars and controlled bias

Estimation of mutual information between (multidimensional) real-valued variables is used in analysis of complex systems, biological systems, and recently also quantum systems. This estimation is a hard problem, and universally good estimators provably do not exist. We focus on the estimator introduced by Kraskov et al. [Phys. Rev. E 69, 066138 (2004)] based on the statistics of distances between neighboring data points, which empirically works for a wide class of underlying probability distributions. First, we illustrate pitfalls of naively applying bootstrapping to estimate the variance of the mutual information estimate. Then we improve this estimator by (1) expanding its range of applicability and by providing (2) a self-consistent way of verifying the absence of bias, (3) a method for estimation of its variance, and (4) guidelines for choosing the values of the free parameter of the estimator. We demonstrate the performance of our estimator on synthetic data sets, as well as on neurophysiological and systems biology data sets.