copent (Q45627)
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Estimating Copula Entropy and Transfer Entropy
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | copent |
Estimating Copula Entropy and Transfer Entropy |
Statements
expanded from: GPL (≥ 2) (English)
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7 June 2024
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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.
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