This paper examines robust estimators of core inflation for Belgian historical CPI data, and for euro area Harmonised Indices of Consumer Prices. Evidence of fat tails in the cross-sections of price changes is provided by traditional measures, as well as by a robust measure of the tail weights...

Some methods from statistical machine learning and from robust statistics have two drawbacks. Firstly, they are computer-intensive such that they can hardly be used for massive data sets, say with millions of data points. Secondly, robust and non-parametric confidence intervals for the...

In this paper we show that the recent notion of regression depth can be used as a data-analytic tool to measure the amount of separation between successes and failures in the binary response framework. Extending this algorithm allows us to compute the overlap in data sets which are commonly...

This paper examines robust estimators of core inflation for Belgian historical CPI data, and for euro area Harmonised Indices of Consumer Prices. Evidence of fat tails in the cross-sections of price changes is provided by traditional measures, as well as by a robust measure of the tail weights...