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Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics

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  • Einmahl, J.H.J.

    (Tilburg University, Center For Economic Research)

  • Li, Jun
  • Liu, Regina

Abstract

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Suggested Citation

  • Einmahl, J.H.J. & Li, Jun & Liu, Regina, 2015. "Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics," Discussion Paper 2015-020, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:bcd9783a-e07e-4da2-bc47-bb96d816c0d8
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    References listed on IDEAS

    as
    1. Arthur B. Yeh & Kesar Singh, 1997. "Balanced Confidence Regions Based on Tukey’s Depth and the Bootstrap," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(3), pages 639-652.
    2. Marc Hallin & Davy Paindaveine & Miroslav Siman, 2008. "Multivariate quantiles and multiple-output regression quantiles: from L1 optimization to halfspace depth," Working Papers ECARES 2008_042, ULB -- Universite Libre de Bruxelles.
    3. Jun Li & Juan A. Cuesta-Albertos & Regina Y. Liu, 2012. "DD -Classifier: Nonparametric Classification Procedure Based on DD -Plot," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 737-753, June.
    4. Cai, J. & Einmahl, J.H.J. & de Haan, L.F.M., 2011. "Estimation of extreme risk regions under multivariate regular variation," Other publications TiSEM b7a72a8d-f9bc-4129-ae9b-a, Tilburg University, School of Economics and Management.
    5. Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
    6. Cuesta-Albertos, J.A. & Nieto-Reyes, A., 2008. "The random Tukey depth," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4979-4988, July.
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    Cited by:

    1. Stanislav Nagy, 2021. "Halfspace depth does not characterize probability distributions," Statistical Papers, Springer, vol. 62(3), pages 1135-1139, June.
    2. Yi He & John H. J. Einmahl, 2017. "Estimation of extreme depth-based quantile regions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 449-461, March.
    3. Christis Katsouris, 2023. "Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models," Papers 2305.11282, arXiv.org, revised Jul 2023.

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    Keywords

    depth; extremes; nonparametric classification; nonparametric multivariate SPC; tail;
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