copent

swMATH33918CRANcopentMaRDI QIDQ45627FDOQ45627

Estimating Copula Entropy and Transfer Entropy

Ma Jian

Last update: 12 August 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.3, 0.1, 0.2, 0.4

Official website: https://cran.r-project.org/web/packages/copent/index.html

Source code repository: https://github.com/cran/copent

Description

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. Please refer to Ma and Sun (2011) <doi:10.1016/S1007-0214(11)70008-6>, Ma (2019) <arXiv:1910.04375>, Ma (2022) <arXiv:2206.05956>, and Ma (2023) <arXiv:2307.07247> for more information.

Cites work

• Two-Sample Test with Copula Entropy
• Mutual information equals copula entropy
• Estimating Transfer Entropy via Copula Entropy
• Multivariate Normality Test with Copula Entropy

Cited In (2)

• BRBVS
• mnormt

This page was built for software: copent