  By combining a bound on the absolute value of the difference of mutual
information between two joint probablity distributions with a fixed variational
distance, and a bound on the probability of a maximal deviation in variational
distance between a true joint probability distribution and an empirical joint
probability distribution, confidence intervals for the mutual information of
two random variables with finite alphabets are established. Different from
previous results, these intervals do not need any assumptions on the
distribution and the sample size.
