Halfspace depth decay rates, for both the population and the empirical measure, encode whether the underlying distribution has light or heavy tails, and a plotting algorithm based on these rates can flag tail type.
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Discriminating Tail Behavior Using Halfspace Depths: Population and Empirical Perspectives
Halfspace depth decay rates, for both the population and the empirical measure, encode whether the underlying distribution has light or heavy tails, and a plotting algorithm based on these rates can flag tail type.