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copent

swMATH ID: 33918
Software Authors: MA Jian
Description: 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.
Homepage: https://cran.r-project.org/web/packages/copent/index.html
Source Code: https://github.com/cran/copent
Dependencies: R
Keywords: arXiv_stat.CO; arXiv_cs.IT; Machine Learning; arXiv_cs.LG; arXiv_cs.MS; Methodology; arXiv_stat.ME; R; R package; Copula Entropy
Related Software: Python; UCI-ml; mnormt; R
Cited in: 0 Publications

Standard Articles

1 Publication describing the Software Year
copent: Estimating Copula Entropy in R
Jian Ma
2020