Title: Accurate Estimation of Mutual Information in High Dimensional Data
Primary area: probabilistic methods (Bayesian methods, variational inference, sampling, UQ, etc.)
Keywords: mutual information estimation, high-dimensional data, statistical consistency, undersampled datasets, low dimensional latent structure

Abstract: Mutual information (MI) is a fundamental measure of statistical dependence between two variables, yet accurate estimation from finite data remains notoriously difficult. No estimator is universally reliable, and common approaches fail in the high-dimensional, undersampled regimes typical of modern experiments. Recent machine learning–based estimators show promise, but their accuracy depends sensitively on dataset size, structure, and hyperparameters, with no accepted tests to detect failures.
We close these gaps through a systematic evaluation of classical and neural MI estimators across standard benchmarks and new synthetic datasets tailored to challenging high-dimensional, undersampled regimes. We contribute: (i) a practical protocol for reliable MI estimation with explicit checks for statistical consistency; (ii) confidence intervals (error bars around estimates) that existing neural MI estimator do not provide; and (iii) a new class of probabilistic critics designed for high-dimensional, high-information settings. We demonstrate the effectiveness of our protocol with computational experiments, showing that it consistently matches or surpasses existing methods while uniquely quantifying its own reliability.
We show that reliable MI estimation is sometimes achievable even in severely undersampled, high-dimensional datasets, provided they admit accurate low-dimensional representations. This broadens the scope of applicability of neural MI estimators and clarifies when such estimators can be trusted.

TL;DR: Mutual information in high-dimensional, undersampled data can be reliably estimated using neural network-based methods when the data has low-dimensional latent structure. We validate a protocol ensuring estimator reliability in such settings.