Location-Scale Depth in Economic Data Stream Analysis

Daniel Kosiorowski

doi:https://doi.org/10.59139/ps.2012.SI1.5

Daniel Kosiorowski Uniwersytet Ekonomiczny w Krakowie Przegląd Statystyczny. Statistical Review, vol. 59, 2012, 1s, pages: 87-108 Published online: 30 June 2012 DOI https://doi.org/10.59139/ps.2012.SI1.5

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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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