Issue: 2015/Vol.25/No.1, Pages 55-79
TWO PROCEDURES FOR ROBUST MONITORING OF PROBABILITY DISTRIBUTIONS OF ECONOMIC DATA STREAM INDUCED BY DEPTH FUNCTIONS
Daniel Kosiorowski
Cite as: D. Kosiorowski. Two procedures for robust monitoring of probability distributions of economic data stream induced by depth functions. Operations Research and Decisions 2015: 25(1), 55-79. DOI 10.5277/ord150104
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
Received: 10 March 2014 Accepted: 17 January 2015