getting negative values for mutual information about entropy_estimators HOT 1 CLOSED

I believe this is not a possible value for MI? (i.e. the lower bound should be 0)

Correct.

However, get_mi implements the KSG estimator, which is not an unbiased estimator. The bias depends on your choice of k, the number of samples, and the distributions of your random variables. One approach to compute (and then correct for) this bias is to permute your random samples (thus removing any relationship there might be between them), compute the KSG estimate for the randomized samples that are known to have zero mutual information, and then subtract the average from the KSG estimate for your samples before randomization.

from entropy_estimators.