quant.hermite_estimator_univar

This method utilizes the estimator (13) in paper Stephanou, Michael, 
Varughese, Melvin and Iain Macdonald. "Sequential quantiles via Hermite 
series density estimation." Electronic Journal of Statistics 11.1 (2017): 
570-607 &lt;doi:10.1214/17-EJS1245&gt;, with some modifications to improve the 
stability of numerical root finding.

Facilitates estimation of full univariate and bivariate
probability density functions and cumulative distribution functions along with
full quantile functions (univariate) and nonparametric correlation
(bivariate) using Hermite series based estimators. These estimators are
particularly useful in the sequential setting (both stationary and
non-stationary) and one-pass batch estimation setting for large data sets.
Based on: Stephanou, Michael, Varughese, Melvin and Macdonald, Iain. "Sequential quantiles via Hermite series density estimation." Electronic Journal of Statistics 11.1 (2017): 570-607 <doi:10.1214/17-EJS1245>,
Stephanou, Michael and Varughese, Melvin. "On the properties of Hermite series based distribution function estimators." Metrika (2020) <doi:10.1007/s00184-020-00785-z> and Stephanou, Michael and Varughese, Melvin. "Sequential estimation of Spearman rank correlation using Hermite series estimators." Journal of Multivariate Analysis (2021) <doi:10.1016/j.jmva.2021.104783>.

Michael Stephanou

hermiter

Efficient Sequential and Batch Estimation of Univariate and
Bivariate Probability Density Functions and Cumulative
Distribution Functions along with Quantiles (Univariate) and
Nonparametric Correlation (Bivariate)

Melvin Varughese

quant.hermite_estimator_univar function

<dl><dt>h_est_obj</dt>
<dd>A hermite_estimator_univar object.</dd>
<dt>p</dt>
<dd>A numeric vector. A vector of probability values.</dd>
<dt>algorithm</dt>
<dd>A string. Two possible values 'interpolate' which is faster
but may be less accurate or 'bisection' which is slower but potentially more
accurate.</dd>
<dt>accelerate_series</dt>
<dd>A boolean value. If set to TRUE, the series 
acceleration methods described in:
Boyd, John P., and Dennis W. Moore. "Summability methods for 
Hermite functions." Dynamics of atmospheres and oceans 10.1 (1986): 51-62. 
are applied. If set to FALSE, then standard summation is applied.</dd></dl>

Arguments

Estimates the quantiles at a vector of probability values — quant.hermite_estimator_univar

<dl>

<dt>h_est_obj</dt>
<dd>A hermite_estimator_univar object.</dd>


<dt>p</dt>
<dd>A numeric vector. A vector of probability values.</dd>


<dt>algorithm</dt>
<dd>A string. Two possible values 'interpolate' which is faster
but may be less accurate or 'bisection' which is slower but potentially more
accurate.</dd>


<dt>accelerate_series</dt>
<dd>A boolean value. If set to TRUE, the series 
acceleration methods described in:
Boyd, John P., and Dennis W. Moore. "Summability methods for 
Hermite functions." Dynamics of atmospheres and oceans 10.1 (1986): 51-62. 
are applied. If set to FALSE, then standard summation is applied.</dd>

</dl>

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quant.hermite_estimator_univar: Estimates the quantiles at a vector of probability values

Description

Usage

Value

Arguments