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

DOI10.1002/SAM.11439MaRDI QIDQ4970307zbMATH OpenOpenAlexWikidataFDO

Authors A. Gregory, K. 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

copulasstreaming datatail dependence

Mathematics Subject Classification ID

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

Cites work

• A streaming algorithm for bivariate empirical copulas
• Algorithms and Computation
• Asymptotic properties of sample quantiles of discrete distributions
• Bivariate extreme statistics. I
• Empirical estimation of tail dependence using copulas: application to Asian markets
• Estimating the tail-dependence coefficient: properties and pitfalls
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 3713004 (Why is no real title available?)
• Knowledge discovery from data streams.
• Non-parametric Estimation of Tail Dependence
• Pair-copula constructions of multiple dependence

Cited in

(1)

• Space-efficient estimation of statistics over sub-sampled streams

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