Influence functions of some depth functions, and application to depth-weighted L-statistics

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Depth functions are increasingly being used in building nonparametric outlier detectors and in constructing useful nonparametric statistics such as depth-weighted L-statistics (DL-statistics). Robustness of a depth function is an essential property for such applications. Here, robustness of three key depth functions, spatial, simplicial, and generalised Tukey, is explored via the influence function (IF) approach. For all three depths, the IFs are derived and found to be bounded, an important robustness property, and are applied to evaluate two other robustness features, gross error sensitivity and local shift sensitivity. These IFs are also used as components of the IFs of associated DL-statistics, for which through a standard approach consistency and asymptotic normality are then derived. In turn, the asymptotic normality is applied to obtain asymptotic relative efficiencies (ARE). For spatial depth, two forms of weight function suggested in the recent literature are considered and AREs in comparison with the mean are obtained. For all three depths and one of these weight functions, finite sample REs are obtained by simulation under normal, contaminated normal, and heavy-tailed t distributions. As a technical tool of general interest, needed here with the simplicial depth, the IF of a general U-statistic is derived.