Estimating Copula Entropy and Transfer Entropy
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. The method for change point detection with copula entropy based two-sample test is also implemented. Please refer to Ma and Sun (2011) , Ma (2019) , Ma (2022) , Ma (2023) , and Ma (2024) for more information.