MultivariateDiscretization.jl is a Julia package that can be used for mulitvariate, interaction preserving discretization. Currently the following methods are implemented:
- Uniform width binning
- Bayesian Blocks using Discretizers.jl.
- Correlation preserving discretization
- Interaction preserving discretization
For testing purposes a function to evaluate the Cumulative Jensen Shannon divergence is included as well.
Documentation can be found here