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

DOI10.1002/sam.11439OpenAlexW2989747479WikidataQ126745309 ScholiaQ126745309MaRDI QIDQ4970307

Alastair Gregory, Kaushik Jana

Publication date: 14 October 2020

Published in: Statistical Analysis and Data Mining: The ASA Data Science Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.03586

zbMATH Keywords

copulastail dependencestreaming data

Mathematics Subject Classification ID

Statistics (62-XX) Computer science (68-XX)

Cites Work

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• Pair-copula constructions of multiple dependence
• Bivariate extreme statistics. I
• Asymptotic properties of sample quantiles of discrete distributions
• A streaming algorithm for bivariate empirical copulas
• Estimating the tail-dependence coefficient: properties and pitfalls
• Knowledge Discovery from Data Streams
• Empirical estimation of tail dependence using copulas: application to Asian markets
• Non-parametric Estimation of Tail Dependence
• Algorithms and Computation

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