2015 | 25 | 1 | 55-79
Article title

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

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