CopEnt.jl

Author xukai92
Popularity
1 Star
Updated Last
7 Months Ago
Started In
February 2021

CopEnt.jl: Copula Entropy in Julia

This package is a Julia fork of the original author's R package (copent) and the Python package (pycopent)

WARNING

The function copula_entropy in the package indeed returns the copula entropy instead of the negative copula entropy, which is done by the corresponding copent function in copent or pycopent.

Example

using Distributions, CopEnt
ρ = 0.6
μ = zeros(2)
Σ = [1 ρ; ρ 1]
x = rand(MvNormal(μ, Σ), 2_000)
mi = -copent(x) # this gives us 0.1849467947096306
                # true value is 0.2231435513142097

Also see the example notebook for some visualizations.

Used By Packages

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