English

A Tutorial on Multivariate $k$-Statistics and their Computation

Methodology 2020-05-19 v1 Statistics Theory Computation Statistics Theory

Abstract

This document aims to provide an accessible tutorial on the unbiased estimation of multivariate cumulants, using kk-statistics. We offer an explicit and general formula for multivariate kk-statistics of arbitrary order. We also prove that the kk-statistics are unbiased, using M\"obius inversion and rudimentary combinatorics. Many detailed examples are considered throughout the paper. We conclude with a discussion of kk-statistics computation, including the challenge of time complexity, and we examine a couple of possible avenues to improve the efficiency of this computation. The purpose of this document is threefold: to provide a clear introduction to kk-statistics without relying on specialized tools like the umbral calculus; to construct an explicit formula for kk-statistics that might facilitate future approximations and faster algorithms; and to serve as a companion paper to our Python library PyMoments, which implements this formula.

Keywords

Cite

@article{arxiv.2005.08373,
  title  = {A Tutorial on Multivariate $k$-Statistics and their Computation},
  author = {Kevin D. Smith},
  journal= {arXiv preprint arXiv:2005.08373},
  year   = {2020}
}