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What is Mutual Information?

In the field of machine learning, when it comes to extracting relationships between variables, we often use Pearson correlation. The problem is that this measure only finds linear relationships, which can lead sometimes to a bad interpretation of the relation between two variables. Nevertheless, other statistics measure non-linear relationships, such as mutual information.

Therefore, in this post, we are going to explain mutual information, how it is calculated, and an example of its use.

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Pablo Aznar