Tyler shape depth

DOI10.1093/BIOMET/ASZ039zbMATH Open1435.62220arXiv1706.00666OpenAlexW2973638981WikidataQ127585306 ScholiaQ127585306MaRDI QIDQ5212913FDOQ5212913

Authors: Davy Paindaveine, Germain Van Bever 

Publication date: 30 January 2020

Published in: Biometrika (Search for Journal in Brave)

Abstract: In many problems from multivariate analysis, the parameter of interest is a shape matrix, that is, a normalized version of the corresponding scatter or dispersion matrix. In this paper, we propose a depth concept for shape matrices that involves data points only through their directions from the center of the distribution. We use the terminology Tyler shape depth since the resulting estimator of shape, namely the deepest shape matrix, is the median-based counterpart of the M-estimator of shape of Tyler (1987). Beyond estimation, shape depth, like its Tyler antecedent, also allows hypothesis testing on shape. Its main benefit, however, lies in the ranking of shape matrices it provides, whose practical relevance is illustrated in principal component analysis and in shape-based outlier detection. We study the invariance, quasi-concavity and continuity properties of Tyler shape depth, the topological and boundedness properties of the corresponding depth regions, existence of a deepest shape matrix and prove Fisher consistency in the elliptical case. Finally, we derive a Glivenko-Cantelli-type result and establish almost sure consistency of the deepest shape matrix estimator.

Full work available at URL: https://arxiv.org/abs/1706.00666

Recommendations

• Halfspace depths for scatter, concentration and shape matrices
• A canonical definition of shape
• Tests and estimates of shape based on spatial signs and ranks
• Some extensions of Tukey's depth function
• \(k\)-step shape estimators based on spatial signs and ranks

zbMATH Keywords

principal component analysisrobustnesselliptical distributionstatistical depthshape matrixtest for sphericity

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Image analysis in multivariate analysis (62H35)

Cited In (2)

• Halfspace depths for scatter, concentration and shape matrices
• A review of Tyler's shape matrix and its extensions

This page was built for publication: Tyler shape depth

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5212913)