Two-Sample Test with Copula Entropy

Abstract: In this paper we propose a two-sample test based on copula entropy (CE). The proposed test statistic is defined as the difference between the CEs of the null hypothesis and the alternative. The estimator of the test statistic is proposed with the non-parametric estimator of CE, which is non-parametric and hyperparameter-free. Simulation experiments verified the effectiveness of the proposed test and compared it with three other multivariate non-parametric two-sample tests on the simulated bi-variate normal or bi-variate Gaussian copula data. Experimental results show that the proposed test works well on all three simulations and presents competitive or better performance than the other three tests.