function kl = KLgauss(P, Q)%The following computes D(P||Q), the KL divergence between two zero-mean%Gaussians with covariance P and Q:%  klDiv = -0.5*(log(det(P*inv(Q))) + trace(eye(N)-P*inv(Q)));R = P*inv(Q);kl = -0.5*(log(det(R))) + trace(eye(length(P))-R);To get MI, just set P=cov(X,Y) and Q=blockdiag(cov(X),cov(Y)).  The formulawith differing means is not much more complicated, but I don't have code for itand can't remember the formula at the moment.