The Annals of Statistics

Monge–Kantorovich depth, quantiles, ranks and signs

Victor Chernozhukov, Alfred Galichon, Marc Hallin, and Marc Henry

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Abstract

We propose new concepts of statistical depth, multivariate quantiles, vector quantiles and ranks, ranks and signs, based on canonical transportation maps between a distribution of interest on $\mathbb{R}^{d}$ and a reference distribution on the $d$-dimensional unit ball. The new depth concept, called Monge–Kantorovich depth, specializes to halfspace depth for $d=1$ and in the case of spherical distributions, but for more general distributions, differs from the latter in the ability for its contours to account for non-convex features of the distribution of interest. We propose empirical counterparts to the population versions of those Monge–Kantorovich depth contours, quantiles, ranks, signs and vector quantiles and ranks, and show their consistency by establishing a uniform convergence property for empirical (forward and reverse) transport maps, which is the main theoretical result of this paper.

Article information

Source
Ann. Statist., Volume 45, Number 1 (2017), 223-256.

Dates
Received: January 2015
Revised: February 2016
First available in Project Euclid: 21 February 2017

Permanent link to this document
https://projecteuclid.org/euclid.aos/1487667622

Digital Object Identifier
doi:10.1214/16-AOS1450

Mathematical Reviews number (MathSciNet)
MR3611491

Zentralblatt MATH identifier
06710510

Subjects
Primary: 62M15: Spectral analysis 62G35: Robustness

Keywords
Statistical depth vector quantiles vector ranks multivariate signs empirical transport maps uniform convergence of empirical transport

Citation

Chernozhukov, Victor; Galichon, Alfred; Hallin, Marc; Henry, Marc. Monge–Kantorovich depth, quantiles, ranks and signs. Ann. Statist. 45 (2017), no. 1, 223--256. doi:10.1214/16-AOS1450. https://projecteuclid.org/euclid.aos/1487667622


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Supplemental materials

  • Supplement to “Monge–Kantorovich depth, quantiles, ranks and signs”. In the online supplement [8], we provide a proof of Lemma 3.1.