copent

R package copent: Estimating Copula Entropy. The nonparametric method for estimating copula entropy is implemented. The method composes of two simple steps: estimating empirical copula by rank statistic and estimating copula entropy with k-Nearest-Neighbour method. Copula Entropy is a mathematical concept for multivariate statistical independence measuring and testing, and proved to be equivalent to mutual information. Estimating copula entropy can be applied to many cases, including but not limited to variable selection and causal discovery (by estimating transfer entropy). Please refer to Ma and Sun (2011) <doi:10.1016/S1007-0214(11)70008-6> for more information.

Keywords for this software

Anything in here will be replaced on browsers that support the canvas element


References in zbMATH (referenced in 1 article , 1 standard article )

Showing result 1 of 1.
Sorted by year (citations)

  1. Jian Ma: copent: Estimating Copula Entropy in R (2020) arXiv