3 ms·

I'm personally a fan of mutual information and flavors, like transfer entropy.

• eigenvalue 3y ago
  Mutal information is definitely a good measure, but it can struggle with complex and highly non-linear associations-- particularly when you are dealing in high dimensional spaces (because of the curse of dimensionality). Mutual information can have some serious bias/variance issues, especially when you don't have a huge amount of data to work with. Hoeffding's basically sidesteps all of these problems. The main downside of it is that it's so computationally intensive, much more than mutual information.