Halfspace depths for scatter, concentration and shape matrices

Davy Paindaveine, Germain Van Bever

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Abstract

We propose halfspace depth concepts for scatter, concentration and shape matrices. For scatter matrices, our concept is similar to those from Chen, Gao and Ren [Robust covariance and scatter matrix estimation under Huber’s contamination model (2018)] and Zhang [J. Multivariate Anal. 82 (2002) 134–165]. Rather than focusing, as in these earlier works, on deepest scatter matrices, we thoroughly investigate the properties of the proposed depth and of the corresponding depth regions. We do so under minimal assumptions and, in particular, we do not restrict to elliptical distributions nor to absolutely continuous distributions. Interestingly, fully understanding scatter halfspace depth requires considering different geometries/topologies on the space of scatter matrices. We also discuss, in the spirit of Zuo and Serfling [Ann. Statist. 28 (2000) 461–482], the structural properties a scatter depth should satisfy, and investigate whether or not these are met by scatter halfspace depth. Companion concepts of depth for concentration matrices and shape matrices are also proposed and studied. We show the practical relevance of the depth concepts considered in a real-data example from finance.

Original languageEnglish
Pages (from-to)3276-3307
Number of pages32
JournalAnnals of Statistics
Volume46
Issue number6B
DOIs
Publication statusPublished - 2018
Externally publishedYes

Keywords

  • Curved parameter spaces
  • Elliptical distributions
  • Robustness
  • Scatter matrices
  • Shape matrices
  • Statistical depth

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