  Identifying differential equation governing dynamical system is an important
problem with wide applications. Copula Entropy (CE) is a mathematical concept
for measuring statistical independence in information theory. In this paper we
propose a method for identifying differential equation of dynamical systems
with CE. The problem is considered as a variable selection problem and solved
with the previously proposed CE-based method for variable selection. The
proposed method composed of two components: the difference operator and the CE
estimator. Since both components can be done non-parametrically, the proposed
method is therefore model-free and hyperparameter-free. The simulation
experiment with the 3D Lorenz system verified the effectiveness of the proposed
method.
