A streaming algorithm for bivariate empirical copulas

DOI10.1016/J.CSDA.2019.01.015OpenAlexW2914904614MaRDI QIDQ1738002

Alastair Gregory

Publication date: 29 March 2019

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1805.05168

zbMATH Keywords

copulasdependent data streamsstatistical summaries

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (1)

Space‐efficient estimation of empirical tail dependence coefficients for bivariate data streams

Cites Work

• Unnamed Item
• Pair-copula constructions of multiple dependence
• A class of multivariate copulas based on products of bivariate copulas
• Range counting over multidimensional data streams
• Asymptotic properties of sample quantiles of discrete distributions
• Nonparametric estimation of simplified vine copula models: comparison of methods
• Vines -- a new graphical model for dependent random variables.
• Encyclopedia of Database Systems
• Non-parametric Estimation of Tail Dependence
• Algorithms and Computation

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