Bridging centrality and extremity: refining empirical data depth using extreme value statistics

DOI10.1214/15-AOS1359zbMATH Open1327.62205arXiv1510.08694MaRDI QIDQ892256FDOQ892256

Jun Li, John H. J. Einmahl, Regina Y. Liu

Publication date: 18 November 2015

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Statistical depth measures the centrality of a point with respect to a given distribution or data cloud. It provides a natural center-outward ordering of multivariate data points and yields a systematic nonparametric multivariate analysis scheme. In particular, the half-space depth is shown to have many desirable properties and broad applicability. However, the empirical half-space depth is zero outside the convex hull of the data. This property has rendered the empirical half-space depth useless outside the data cloud, and limited its utility in applications where the extreme outlying probability mass is the focal point, such as in classification problems and control charts with very small false alarm rates. To address this issue, we apply extreme value statistics to refine the empirical half-space depth in "the tail." This provides an important linkage between data depth, which is useful for inference on centrality, and extreme value statistics, which is useful for inference on extremity. The refined empirical half-space depth can thus extend all its utilities beyond the data cloud, and hence broaden greatly its applicability. The refined estimator is shown to have substantially improved upon the empirical estimator in theory and simulations. The benefit of this improvement is also demonstrated through the applications in classification and statistical process control.

Full work available at URL: https://arxiv.org/abs/1510.08694

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zbMATH Keywords

depthextremesnonparametric classificationtailnonparametric multivariate SPC

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics in engineering and industry; control charts (62P30) Statistics of extreme values; tail inference (62G32)

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Cited In (11)

• Illumination Depth
• On multivariate separating Hill estimator under estimated location and scatter
• Nonparametric Fusion Learning for Multiparameters: Synthesize Inferences From Diverse Sources Using Data Depth and Confidence Distribution
• Title not available (Why is that?)
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• Halfspace depth does not characterize probability distributions
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• Model-based statistical depth with applications to functional data
• Nonparametric Imputation by Data Depth
• Halfspace depth and floating body

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