copent

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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