Affine invariant integrated rank-weighted statistical depth: properties and finite sample analysis

DOI10.1214/23-EJS2189arXiv2106.11068OpenAlexW4389578136MaRDI QIDQ6184932

Stéphan Clémençon, Guillaume Staerman, Pavlo Mozharovskyi

Publication date: 5 January 2024

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.11068

zbMATH Keywords

affine invarianceanomaly detectionstatistical depthintegrated rank-weighted depth

Mathematics Subject Classification ID

Multivariate analysis (62H99) Computational learning theory (68Q32) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sparse inverse covariance estimation with the graphical lasso
• A well-conditioned estimator for large-dimensional covariance matrices
• Depth-based runs tests for bivariate central symmetry
• Uniform convergence rates for halfspace depth
• Monge-Kantorovich depth, quantiles, ranks and signs
• Some extensions of Tukey's depth function
• How close is the sample covariance matrix to the actual covariance matrix?
• Optimal rates of convergence for sparse covariance matrix estimation
• Half-space mass: a maximally robust and efficient data depth method
• Approximate computation of projection depths
• Bridging centrality and extremity: refining empirical data depth using extreme value statistics
• Optimal rates of convergence for covariance matrix estimation
• On depth measures and dual statistics. A methodology for dealing with general data
• Descriptive statistics for multivariate distributions
• Breakdown properties of location estimates based on halfspace depth and projected outlyingness
• Halfspace depth and regression depth characterize the empirical distribution
• Zonoid trimming for multivariate distributions
• Projection-based depth functions and associated medians
• Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
• The Tukey depth characterizes the atomic measure
• Support-vector networks
• Choosing among notions of multivariate depth statistics
• Uniform convergence rates for the approximated halfspace and projection depth
• Integrated rank-weighted depth
• Data depths satisfying the projection property
• On a Geometric Notion of Quantiles for Multivariate Data
• Least Median of Squares Regression
• Fast Computation of Tukey Trimmed Regions and Median in Dimension p > 2
• The multivariate L ₁ -median and associated data depth
• Shrinkage Algorithms for MMSE Covariance Estimation
• A Quality Index Based on Data Depth and Multivariate Rank Tests
• An overview of the estimation of large covariance and precision matrices
• A useful variant of the Davis–Kahan theorem for statisticians
• Computing Halfspace Depth and Regression Depth
• The Rotation of Eigenvectors by a Perturbation. III
• Perturbation theory for pseudo-inverses
• A NEW MEASURE OF RANK CORRELATION

This page was built for publication: Affine invariant integrated rank-weighted statistical depth: properties and finite sample analysis