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Hui Li edited excess mass.tex
over 9 years ago
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Consider a bounded continuous density of distribution $f(x)$ with respect to Lebesgue measure in one dimension for simplicity. For various values of a constant $\lambda$, the mass of $f(x)$ exceeding the $\lambda$-multiple can be calculated by the functional:
\begin{equation}
\lambda \rightarrow E(\lambda)=\int (f(x)-\lambda)^+
dx dx.
\end{equation}
Qualitatively, the excess mass $E(\lambda)$ is the sum of contributions $E_C(\lambda)\equiv \int_C (f(x)-\lambda)dx$ coming form connected sets $C[C\subset{x:f(x)>\lambda}]$