Efficient computation of multivariate empirical distribution functions at the observed values

DOI10.1007/S00180-017-0771-XzbMath1417.65044OpenAlexW2765657020MaRDI QIDQ722738

D. Kharzeev

Publication date: 27 July 2018

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-017-0771-x

zbMATH Keywords

Monte Carlo simulationsorting algorithmsintegral evaluationjoint probabilities

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12)

Related Items (2)

MEPDF: Multivariate empirical density functions ⋮ Fast multivariate empirical cumulative distribution function with connection to kernel density estimation

Cites Work

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• Factor copula models for multivariate data
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Truncated regular vines in high dimensions with application to financial data
• Bivariate extreme value theory: Models and estimation
• A Class of Statistics with Asymptotically Normal Distribution

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