A self-contained, cross-platform, package for computing mutual information, joint/conditional probability, entropy, and more. This package has also been used for general machine learning and data mining purposes such as feature selection, Bayesian network construction, signal processing, etc.
Another related package for minimal redundancy feature selection is also available at the Matlab Central exchange site, under the category of "Biotech and Pharmaceutical".
A simple demo is called demo_mi.m.
*** Please note that downloading or use of this package means acceptance of the license of this package. In short, this package is free to non-profit use but cannot be re-distributed in any form, including revised forms, without the explicit permission for the author, Hanchuan Peng. See readme file for further information. ***