Weighted-mean trimming of multivariate data
A general notion of trimmed regions for empirical distributions in d-space is introduced. The regions are called weighted-mean trimmed regions. They are continuous in the data as well as in the trimming parameter. Further, these trimmed regions have many other attractive properties. In particular they are subadditive and monotone which makes it possible to construct multivariate measures of risk based on these regions. Special cases include the zonoid trimming and the ECH (expected convex hull) trimming. These regions can be exactly calculated for any dimension. Finally, the notion of weighted-mean trimmed regions extends to probability distributions in d-space, and a law of large numbers applies.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 102 (2011)
Issue (Month): 3 (March)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ignacio Cascos & Ilya Molchanov, 2007. "Multivariate risks and depth-trimmed regions," Finance and Stochastics, Springer, vol. 11(3), pages 373-397, July.