Sequential estimation of Spearman rank correlation using Hermite series estimators
From MaRDI portal
(Redirected from Publication:89438)
Abstract: In this article we describe a new Hermite series based sequential estimator for the Spearman rank correlation coefficient and provide algorithms applicable in both the stationary and non-stationary settings. To treat the non-stationary setting, we introduce a novel, exponentially weighted estimator for the Spearman rank correlation, which allows the local nonparametric correlation of a bivariate data stream to be tracked. To the best of our knowledge this is the first algorithm to be proposed for estimating a time varying Spearman rank correlation that does not rely on a moving window approach. We explore the practical effectiveness of the Hermite series based estimators through real data and simulation studies demonstrating good practical performance. The simulation studies in particular reveal competitive performance compared to an existing algorithm. The potential applications of this work are manifold. The Hermite series based Spearman rank correlation estimator can be applied to fast and robust online calculation of correlation which may vary over time. Possible machine learning applications include, amongst others, fast feature selection and hierarchical clustering on massive data sets.
Recommendations
- Sequential quantiles via Hermite series density estimation
- On the properties of Hermite series based distribution function estimators
- Influence functions of the Spearman and Kendall correlation measures
- Nonparametric estimation of Spearman's rank correlation with bivariate survival data
- ESTIMATES OF STANDARD DEVIATION OF SPEARMAN'S RANK CORRELATION COEFFICIENTS WITH DEPENDENT OBSERVATIONS
Cites work
- scientific article; zbMATH DE number 3870398 (Why is no real title available?)
- scientific article; zbMATH DE number 4007433 (Why is no real title available?)
- scientific article; zbMATH DE number 3772902 (Why is no real title available?)
- scientific article; zbMATH DE number 3477793 (Why is no real title available?)
- Adaptive estimation of the fourth-order cumulant of a white stochastic process
- Comparison of several algorithms for computation of means, standard deviations and correlation coefficients
- Error bounds for the asymptotic expansion of the Hurwitz zeta function
- Estimation of Probability Density by an Orthogonal Series
- Hermite series estimates of a probability density and its derivatives
- Hermite series estimators for probability densities
- High-frequency covariance estimates with noisy and asynchronous financial data
- Influence functions of the Spearman and Kendall correlation measures
- Nonparametric System Identification
- Numerically stable, scalable formulas for parallel and online computation of higher-order multivariate central moments with arbitrary weights
- On the properties of Hermite series based distribution function estimators
- Pointwise consistency of the Hermite series density estimate
- Properties of Hermite series estimation of probability density
- Recursive density estimators based on Robbins-Monro's scheme and using Bernstein polynomials
- Recursive distribution estimator defined by stochastic approximation method using Bernstein polynomials
- Recursive estimation of fourth-order cumulants with application to identification.
- Sequential quantiles via Hermite series density estimation
- The stochastic approximation method for estimation of a distribution function
- Updating mean and variance estimates
Cited in
(3)
This page was built for publication: Sequential estimation of Spearman rank correlation using Hermite series estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q89438)
