The Expected Convex Hull Trimmed Regions Of A Sample
Given a data set in the multivariate Euclidean space, we study regions of central points built by averaging all their subsets with a fixed number of elements. The averaging of these sets is performed by appropriately scaling the Minkowski or elementwise summation of their convex hulls. The volume of such central regions is proposed as a multivariate scatter estimate and a circular sequence algorithm to compute the central regions of a bivariate data set is described.
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- Elyès Jouini & Moncef Meddeb & Nizar Touzi, 2004.
"Vector-valued Coherent Risk Measures,"
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers)
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