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A Tutorial on Multivariate kk-Statistics and their Computation

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.

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