Properties of Statistical Depth with Respect to Compact Convex Random Sets: The Tukey Depth

Abstract

We study a statistical data depth with respect to compact convex random sets, which is consistent with the multivariate Tukey depth and the Tukey depth for fuzzy sets. In addition, it provides a different perspective to the existing halfspace depth with respect to compact convex random sets. In studying this depth function, we provide a series of properties for the statistical data depth with respect to compact convex random sets. These properties are an adaptation of properties that constitute the axiomatic notions of multivariate, functional, and fuzzy depth-functions and other well-known properties of depth.