Two procedures for robust monitoring of probability distributions of economic data stream induced by depth functions
Journal Title: Operations Research and Decisions - Year 2015, Vol 25, Issue 1
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 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.
Authors and Affiliations
Daniel KOSIOROWSKI
Keywords
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