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Found 3 papers, 2 papers with code
Permutation invariant Gaussian matrix models for financial correlation matrices
For this case, we construct the general permutation invariant Gaussian matrix model, which has 4 parameters characterised using the representation theory of symmetric groups.
Sequential estimation of Spearman rank correlation using Hermite series estimators
To treat the non-stationary setting, we introduce a novel, exponentially weighted estimator for the Spearman rank correlation, which allows the local nonparametric correlation of a bivariate data stream to be tracked.
Sequential Quantiles via Hermite Series Density Estimation
These algorithms go beyond existing sequential quantile estimation algorithms in that they allow arbitrary quantiles (as opposed to pre-specified quantiles) to be estimated at any point in time.
Data Summarization
Sequential Distribution Function Estimation
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