Figure 3.

The leftmost plot shows the mutual information calculated using Equation (16) between a standard 100-dimensional normal distribution and a normal distribution with a mean vector of all ones and an isotropic covariance matrix with different variances. The variances are given along the x-axis. The rightmost plot shows the mutual information estimated using Equation (3) for the same distributions. The plots illustrated that the analytically computed mutual information and the estimated quantity follow the same trend.