Fast computation of Tukey trimmed regions and median in dimension $p>2$

Xiaohui Liu, Karl Mosler, Pavlo Mozharovskyi

Given data in ${\mathbb{R}}^p$, a Tukey $\kappa$-trimmed region is the set of all points that have at least Tukey depth $\kappa$ w.r.t. the data. As they are visual, affine equivariant and r…