Daniel Kosiorowski
ARTICLE

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ABSTRACT

In this paper we study the properties of the location-scale depth procedures introduced by Mizera & Muller and look into the probabilistic information of the underlying time series model carried by them. We focus our attention on short term multivariate quantile based description of the possible time series model. We study robustness and utility of such the description in a decision making process. In particular we investigate properties of the moving Student median (two dimensional Tukey median in a location–scale problem).

KEYWORDS

Data Stream, Statistical depth function, multivariate median

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