Numerically stable, scalable formulas for parallel and online computation of higher-order multivariate central moments with arbitrary weights

DOI10.1007/S00180-015-0637-ZzbMATH Open1348.65039OpenAlexW2333251588WikidataQ56038038 ScholiaQ56038038MaRDI QIDQ333360FDOQ333360

Authors Philippe Pébay, Timothy B. Terriberry, H. Kolla, J. C. Bennett 

Publication date 28 October 2016

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://zenodo.org/record/1232635

zbMATH Keywords

parallel computingdescriptive statisticslarge data analysisstatistical moments

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cites Work

• scientific article; zbMATH DE number 425777 (Why is no real title available?)
• scientific article; zbMATH DE number 3772902 (Why is no real title available?)
• scientific article; zbMATH DE number 1952765 (Why is no real title available?)
• scientific article; zbMATH DE number 952945 (Why is no real title available?)
• Accurate Sum and Dot Product
• Adaptive estimation of the fourth-order cumulant of a white stochastic process
• Algorithms for Computing the Sample Variance: Analysis and Recommendations
• Comparison of several algorithms for computation of means, standard deviations and correlation coefficients
• Direction finding algorithms based on high-order statistics
• New criteria for blind deconvolution of nonminimum phase systems (channels)
• Recursive estimation of fourth-order cumulants with application to identification.
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
• The Theory of Unbiased Estimation
• Updating mean and variance estimates

Cited In (6)

• Anomaly detection in scientific data using joint statistical moments
• A parallel dynamic asynchronous framework for uncertainty quantification by hierarchical Monte Carlo algorithms
• Algorithm for error-free determination of the variance of all contiguous subsequences and fixed-length contiguous subsequences for a sequence of industrial measurement data
• Sequential estimation of Spearman rank correlation using Hermite series estimators
• A fully parallelized and budgeted multilevel Monte Carlo method and the application to acoustic waves
• Online estimation of individual-level effects using streaming shrinkage factors

Uses Software

• Stata

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