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

Kosiorowski D.

Operations Research and Decisions

2015

Vol. 25, No. 1

55--79

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.