hermiter: R package for Sequential Nonparametric Estimation

Abstract

This article introduces the R package hermiter which facilitates estimation of univariate and bivariate probability density functions and cumulative distribution functions along with full quantile functions (univariate) and nonparametric correlation coefficients (bivariate) using Hermite series based estimators. The algorithms implemented in the hermiter package are particularly useful in the sequential setting (both stationary and non-stationary) and one-pass batch estimation setting for large data sets. In addition, the Hermite series based estimators are approximately mergeable allowing decentralized estimation.