  The halfspace depth of a $d$-dimensional point $x$ with respect to a finite
(or probability) Borel measure $\mu$ in $\mathbb{R}^d$ is defined as the
infimum of the $\mu$-masses of all closed halfspaces containing $x$. A natural
question is whether the halfspace depth, as a function of $x \in \mathbb{R}^d$,
determines the measure $\mu$ completely. In general, it turns out that this is
not the case, and it is possible for two different measures to have the same
halfspace depth function everywhere in $\mathbb{R}^d$. In this paper we show
that despite this negative result, one can still obtain a substantial amount of
information on the support and the location of the mass of $\mu$ from its
halfspace depth. We illustrate our partial reconstruction procedure in an
example of a non-trivial bivariate probability distribution whose atomic part
is determined successfully from its halfspace depth.
