Estimating Copula Entropy and Transfer Entropy
Conditional independence test with copula entropy
Construct empirical copula by rank statistic
Estimating copula entropy
Single change point detection with copula entropy based two-sample tes...
Estimating entropy from data with kNN method
Multiple change point detection with copula entropy based two-sample t...
Multivariate normality test with copula entropy
Estimating transfer entropy via copula entropy
Two-sample test with copula entropy
The nonparametric methods for estimating copula entropy, transfer entropy, and the statistics for multivariate normality test and two-sample test are implemented. The methods for estimating transfer entropy and the statistics for multivariate normality test and two-sample test are based on the method for estimating copula entropy. The method for change point detection with copula entropy based two-sample test is also implemented. Please refer to Ma and Sun (2011) <doi:10.1016/S1007-0214(11)70008-6>, Ma (2019) <doi:10.48550/arXiv.1910.04375>, Ma (2022) <doi:10.48550/arXiv.2206.05956>, Ma (2023) <doi:10.48550/arXiv.2307.07247>, and Ma (2024) <doi:10.48550/arXiv.2403.07892> for more information.