from sklearn.feature_selection import mutual_info_regression as MIR
mutual_information = []

for i in range(1000,100000,1000):
    distr = multivariate_normal(mean=mean,cov=cov,size=i)
    X,Y = distr[:,0],distr[:,1]
    mutual_information.append(MIR(X.reshape(-1,1),Y))