Functions from information theory

Among others, mutual information between continuous variables. Discretization of continuous space is implemented with Darbellay-Vajda adaptive partitioning algorithm.

Area of application: Feature selection

q)x:copula[10000;.8]  / generate 10k observations of correlated variables
q).info.mut.f x       / mutual information. Better than correlation: detects any kind of (non-linear) relationship
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