Two procedures for robust monitoring of probability distributions of economic data stream induced by depth functions

• Authors: Daniel KOSIOROWSKI
• Languages of publication: EN

Abstracts

EN

Data streams (streaming data) consist of transiently observed, evolving in time, multidimensional data sequences that challenge our computational and/or inferential capabilities. We propose user friendly approaches for robust monitoring of selected properties of unconditional and conditional distributions of the stream based on depth functions. Our proposals are robust to a small fraction of outliers and/or inliers, but at the same time are sensitive to a regime change in the stream. Their implementations are available in our free R package DepthProc

Keywords

EN

data stream; robust procedure; statistical depth function

• Publisher: Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
• Journal: Operations Research and Decisions
• Year: 2015
• Volume: 25
• Issue: 1
• Pages: 55-79

Contributors

author

Daniel KOSIOROWSKI

• Department of Statistics, Cracow University of Economics, ul. Rakowicka 27, 31-510 Cracow, Poland

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Identifiers

DOI

10.5277/ord150104