copula_entropy(x; kwargs...)

Estimate the copula entropy by

1. Compute the emperical copula (see also empirical_copula);
2. Estimate the entropy using the Kraskov method (see entropy_knn for keyword parameters) [1].

The returned copula entropy is the negative mutual information [2].

References

1. Alexander Kraskov, Harald Stögbauer and Peter Grassberger. "Estimating mutual information." Physical review, 2004.
2. Jian Ma and Zengqi Sun. "Mutual information is copula entropy." Tsinghua Science & Technology, 2011.

empirical_copula(x)

Compute the emperical copula.

entropy_knn(x; k, dist)

Estimate the entropy using the Kraskov method [1]

References

1. Alexander Kraskov, Harald Stögbauer and Peter Grassberger. "Estimating mutual information." Physical review, 2004.