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

Daniel Kosiorowski

Operations Research and Decisions, 2015, vol. 25, issue 1, 55-79

Abstract: 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: data stream; robust procedure; statistical depth function (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:wut:journl:v:1:y:2015:p:55-79:id:1116

DOI: 10.5277/ord150104

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