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

• Autorzy: Kosiorowski D.

Identyfikatory

DOI

10.5277/ord150104

• Języki publikacji: EN

Abstrakty

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.

Słowa kluczowe

EN

data stream; robust procedure; statistical depth function

• Wydawca: Oficyna Wydawnicza Politechniki Wrocławskiej
• Czasopismo: Operations Research and Decisions
• Rocznik: 2015
• Tom: Vol. 25, No. 1
• Strony: 55--79
• Opis fizyczny: Bibliogr. 29 poz., rys.

Twórcy

autor

Kosiorowski D.

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

Bibliografia

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