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Signed Mutual Information #43
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[Note: I'm adding the content of my email here for record keeping]
The reason revealer returns a signed MI is because it multiplies the actual MI by the sign of the features’ correlation.
In the code, you will see that
cond_mutual_inf
has the step (line 202):And and the
mutual_inf_v2
function has the step (line 248)Which basically multiplies the MI by the sign of the correlation (rho) between the two variables.
I think we can do the same in our knnmi-based score. In order not to lose efficiency, we could call the cor function on the entire set of features. i.e., when computing the MI between X and all the remaining features, say, REST, do something like
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