Some intriguing properties of Tukey's half-space depth

DOI10.3150/10-BEJ322MaRDI QIDQ654416zbMATHOpenAlexFDO

Authors Subhajit Dutta, Probal Chaudhuri, Anil K. Ghosh

Publication date 28 December 2011

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1201.1171

zbMATH Keywords

symmetric distributionsBanach space\(l_p\) normdepth contourshalf-space median

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of functional analysis in probability theory and statistics (46N30) Graphical methods in statistics (62A09)

Abstract: For multivariate data, Tukey's half-space depth is one of the most popular depth functions available in the literature. It is conceptually simple and satisfies several desirable properties of depth functions. The Tukey median, the multivariate median associated with the half-space depth, is also a well-known measure of center for multivariate data with several interesting properties. In this article, we derive and investigate some interesting properties of half-space depth and its associated multivariate median. These properties, some of which are counterintuitive, have important statistical consequences in multivariate analysis. We also investigate a natural extension of Tukey's half-space depth and the related median for probability distributions on any Banach space (which may be finite- or infinite-dimensional) and prove some results that demonstrate anomalous behavior of half-space depth in infinite-dimensional spaces.

Recommendations

• The depth function of a population distribution.
• General notions of statistical depth function.
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• An algorithm for the multivariate Tukey median
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Cited in

(39)

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• Common multivariate estimators of location and scatter capture the symmetry of the underlying distribution
• A Bayesian Approach to Multiple-Output Quantile Regression
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