On general notions of depth for regression

Abstract: Depth notions in location have fascinated tremendous attention in the literature. In fact data depth and its applications remain one of the most active research topics in statistics in the last two decades. Most favored notions of depth in location include Tukey (1975) halfspace depth (HD), Liu (1990) simplicial depth, and projection depth (Stahel (1981) and Donoho (1982), Liu (1992), Zuo and Serfling (2000) (ZS00) and Zuo (2003)), among others. Depth notions in regression have also been proposed, sporadically nevertheless. Regression depth (RD) of Rousseeuw and Hubert (1999) (RH99) is the most famous one which is a direct extension of Tukey HD to regression. Others include Carrizosa (1996) and the ones induced from Marrona and Yohai (1993) (MY93) proposed in this article. Is there any relationship between Carrizosa depth and RD of RH99? Do these depth notions possess desirable properties? What are the desirable properties? Can existing notions really serve as depth functions in regression? These questions remain open. Revealing the equivalence between Carrizosa depth and RD of RH99; expanding location depth evaluating criteria in ZS00 for regression depth notions; examining the existing regression notions with respect to the gauges; and proposing the regression counterpart of the eminent projection depth in location are the four major objectives of the article.