The Shorth Plot
AbstractThe shorth plot is a tool to investigate probability mass concentration. It is a graphical representation of the length of the shorth, the shortest interval covering a certain fraction of the distribution, localized by forcing the intervals considered to contain a given point x. It is easy to compute, avoids bandwidth selection problems and allows scanning for local as well as for global features of the probability distribution. We prove functional central limit theorems for the empirical shorth plot. The good rate of convergence of the empirical shorth plot makes it useful already for moderate sample size.
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Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-3368484.
Date of creation: 2010
Date of revision:
Publication status: Published in Journal of Computational and Graphical Statistics (2010) v.19, p.62-73
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Web page: http://www.tilburguniversity.edu/
Other versions of this item:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-18 (All new papers)
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- Einmahl, J. & Mason, D.M., 1992. "Generalized quantile processes," Open Access publications from Tilburg University urn:nbn:nl:ui:12-125730, Tilburg University.
- Einmahl, J.H.J. & Haan, L.F.M. de & Zhou, C., 2014. "Statistics of Heteroscedastic Extremes," Discussion Paper 2014-015, Tilburg University, Center for Economic Research.
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