A new method for fast computing unbiased estimators of cumulants
We propose new algorithms for generating k-statistics, multivariate k-statistics, polykays and multivariate polykays. The resulting computational times are very fast compared with procedures existing in the literature. Such speeding up is obtained by means of a symbolic method arising from the classical umbral calculus. The classical umbral calculus is a light syntax that involves only elementary rules to managing sequences of numbers or polynomials. The cornerstone of the procedures here introduced is the connection between cumulants of a random variable and a suitable compound Poisson random variable. Such a connection holds also for multivariate random variables.
umbral calculus univariate and multivariate k-statistics univariate and multivariate polykays