General notions of statistical depth function
Robert Serfling and Yijun Zuo
Source: Ann. Statist. Volume 28, Number 2
(2000), 461-482.
Abstract
Statistical depth functions are being formulated ad hoc with increasing popularity in nonparametric inference for multivariate data. Here we introduce several general structures for depth functions, classify many existing examples as special cases, and establish results on the possession, or lack thereof, of four key properties desirable for depth functions in general. Roughly speaking, these properties may be described as: affine invariance, maximality at center, monotonicity relative to deepest point, and vanishing at infinity. This provides a more systematic basis for selection of a depth function. In particular, from these and other considerations it is found that the halfspace depth behaves very well overall in comparison with various competitors.
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Permanent link to this document: http://projecteuclid.org/euclid.aos/1016218226
Mathematical Reviews number (MathSciNet): MR1790005
Digital Object Identifier: doi:10.1214/aos/1016218226
Zentralblatt MATH identifier: 01828948
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