Estimator for mutual information, with the required KDE package.
Before running, you will probably need to compile some C files. Running @kde/mex/makemex.m should do this. If you have issues, there is some documentation here:
http://www.ics.uci.edu/~ihler/code/kde.html
Then, ideally, you should just need to call
MI_est(Xs, Ys)
for appropriate Xs and Ys as we discussed. test_MI.m contains an example usage. If needed, you can play around with the parameters a bit, as discussed in MI_est.m.