Large sample properties of the regression depth induced median

Abstract

Notions of depth in regression have been introduced and studied in the literature. Regression depth (RD) of Rousseeuw and Hubert (1999), the most famous one, is a direct extension of Tukey location depth (Tukey, 1975) to regression.Like its location counterpart, the most remarkable advantage of the notion of depth in regression is to directly introduce the maximum (or deepest) regression depth estimator (aka depth induced median) for regression parameters in a multi-dimensional setting. Classical questions for the regression depth induced median include (i) is it a consistent estimator (or rather under what sufficient conditions, it is consistent)? and (ii) is there any limiting distribution?Bai and He (1999) (BH99) pioneered an attempt to answer these questions. Under some stringent conditions on (i) the design points, (ii) the conditional distributions of y given xi, and (iii) the error distributions, BH99 proved the strong consistency of the depth induced median. Under another set of conditions, BH99 showed the existence of the limiting distribution of the estimator.This article establishes the strong consistency of the depth induced median without any of the stringent conditions in BH99, and proves the existence of the limiting distribution of the estimator by sufficient conditions and an approach different from BH99.