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Thanks so much, Luigi. I think I am able to get it running. But to make certain, may ask you if your Community post syntax:

KraskovI1[list, list+T, 4], with T ranged 0,20

is equivalent to your new ResourceFunction:

ResourceFunction["MutualInformation"][list,20]

A smaller question, I wonder if there's a small index-shift problem? If I do

ListLinePlot[output from your MutualInformation] 

the plot will show the zero-shift MI at position 1 (not zero) in the plot (since the zero shift is the first element in the MI list). The plots in the post were probably shifted by one element from actual value (e.g, for minimum in MI). I suppose this could be fixed if I do my plot shifted so 1st element in MI list is plotted at origin, at 0.

Thanks so much. You have probably moved on from this project, but I am finding it potentially very useful in my Physics research. And I would like to acknowledge your work if/when I ever publish what I'm looking at.

-Jim Clarage, University of St. Thomas Houston, Texas

Hi, thanks for the interest! My function is currently under review for submission in the Wolfram Function Repository, but you can find a preliminary (not reviewed) version here. It doesn't explicitely support timeseries yet, but I plan on adding that soon.

(Ignore the comment of the reviewer in the examples section, I just resubmitted it and couldn't delete that)