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majianthu
copent:Estimating Copula Entropy and Transfer 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.
Maintained by MA Jian. Last updated 9 months ago.
causal-discoverycausalitychange-point-detectionconditional-independence-testconditional-mutual-informationcopulacopula-entropycorrelationentropygranger-causalityinformation-theorymutual-informationmutualinfnormality-testtransfer-entropytwo-sample-testvariable-selection
83.4 match 41 stars 5.15 score 23 scripts 1 dependents