Estimation of Extreme Depth-Based Quantile Regions

Yi He and John Einmahl

No 2014-035, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Extreme value statistics; halfspace depth; multivariate quantile; outlier detection; rare event; tail dependence (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ecm, nep-ore and nep-rmg
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Related works:
Journal Article: Estimation of extreme depth-based quantile regions (2017)
Working Paper: Estimation of Extreme Depth-Based Quantile Regions (2014)
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