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.