Statistical Depth Functions in a Preliminary Analysis of Time Series Cover Image

Statystyczne funkcje głębi we wstępnej analizie szeregu czasowego
Statistical Depth Functions in a Preliminary Analysis of Time Series

Author(s): Daniel Kosiorowski
Subject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego w Krakowie
Keywords: statistical depth function; robust; time series

Summary/Abstract: In this paper I present selected applications of data depth-based statistical procedures for a preliminary analysis of time series. I focus our attention on simple methods induced by halfspace depth, regression depth and generalised band depth proposed by Pintado-Lopez and Romo. The Monte Carlo studies and empirical examples show our procedures to have good robustness properties.

  • Issue Year: 884/2012
  • Issue No: 08
  • Page Range: 43-58
  • Page Count: 16
  • Language: Polish