A python implement of the Two-step algorithm
More details about the Two-step algorithm can be found in the original repo.
A dataset X of non-Gaussian variables is required as input, together with a positive value for the penalization parameter, lambda.
Two-Step outputs the causal coefficients matrix B, from X = BX + E.
In B, the causal direction goes from column to row, such that a matrix entry Bij, implies Xj --> Xi.
A toy example to run this algorithm is given in 'Two-Step/two_step_CD.py'.