Another look at halfspace depth: Flag halfspaces with applications

Abstract: The halfspace depth is a well studied tool of nonparametric statistics in multivariate spaces, naturally inducing a multivariate generalisation of quantiles. The halfspace depth of a point with respect to a measure is defined as the infimum mass of closed halfspaces that contain the given point. In general, a closed halfspace that attains that infimum does not have to exist. We introduce a flag halfspace - an intermediary between a closed halfspace and its interior. We demonstrate that the halfspace depth can be equivalently formulated also in terms of flag halfspaces, and that there always exists a flag halfspace whose boundary passes through any given point $x$, and has mass exactly equal to the halfspace depth of $x$. Flag halfspaces allow us to derive theoretical results regarding the halfspace depth without the need to differentiate absolutely continuous measures from measures containing atoms, as was frequently done previously. The notion of flag halfspaces is used to state results on the dimensionality of the halfspace median set for random samples. We prove that under mild conditions, the dimension of the sample halfspace median set of $d$-variate data cannot be $d-1$, and that for $d=2$ the sample halfspace median set must be either a two-dimensional convex polygon, or a data point. The latter result guarantees that the computational algorithm for the sample halfspace median form the R package TukeyRegion is exact also in the case when the median set is less-than-full-dimensional in dimension $d=2$.