Corpus ID: 228376037

Sequential Estimation of Nonparametric Correlation using Hermite Series Estimators.

@article{Stephanou2020SequentialEO,
  title={Sequential Estimation of Nonparametric Correlation using Hermite Series Estimators.},
  author={Michael Stephanou and Melvin M. Varughese},
  journal={arXiv: Methodology},
  year={2020}
}
In this article we describe a new Hermite series based sequential estimator for the Spearman's 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's 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… Expand

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