Two Procedures for Robust Monitoring of Probability Distributions of Economic Data Streams induced by Depth Functions
arXiv:1405.0131
Abstract
Data streams (streaming data) consist of transiently observed, evolving in time, multidimensional data sequences that challenge our computational and/or inferential capabilities. In this paper we propose user friendly approaches for robust monitoring of selected properties of unconditional and conditional distribution of the stream basing on depth functions. Our proposals are robust to a small fraction of outliers and/or inliers but sensitive to a regime change of the stream at the same time. Their implementations are available in our free R package DepthProc.
Operations Research and Decisions, vol. 25, No. 1, 2015