hermiter: R package for sequential nonparametric estimation

Michael Stephanou () and Melvin Varughese ()
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Michael Stephanou: Rand Merchant Bank
Melvin Varughese: University of Cape Town

Computational Statistics, 2024, vol. 39, issue 3, No 3, 1127-1163

Abstract: Abstract This article introduces the R package hermiter which facilitates estimation of univariate and bivariate probability density functions and cumulative distribution functions along with full quantile functions (univariate) and nonparametric correlation coefficients (bivariate) using Hermite series based estimators. The algorithms implemented in the hermiter package are particularly useful in the sequential setting (both stationary and non-stationary) and one-pass batch estimation setting for large data sets. In addition, the Hermite series based estimators are approximately mergeable allowing parallel and distributed estimation.

Keywords: Fast Kendall Tau; Fast quantiles; Fast Spearman Rho; Hermite series estimators; Online algorithms; Sequential algorithms (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00180-023-01382-0

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