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stat.CO2019
Space-efficient estimation of empirical tail dependence coefficients for bivariate data streams
Alastair Gregory, Kaushik Jana
This article proposes a space-efficient approximation to empirical tail dependence coefficients of an indefinite bivariate stream of data. The approximation, which has stream-lengt…
stat.CO2018
A streaming algorithm for bivariate empirical copulas
Alastair Gregory
Empirical copula functions can be used to model the dependence structure of multivariate data. The Greenwald and Khanna algorithm is adapted in order to provide a space-memory effi…