Set-valued conditional functionals of random sets

Abstract: Many key quantities in statistics and probability theory such as the expectation, quantiles, expectiles and many risk measures are law-determined maps from a space of random variables to the reals. We call such a law-determined map, which is normalised, positively homogeneous, monotone and translation equivariant, a gauge function. Considered as a functional on the space of distributions, we can apply such a gauge to the conditional distribution of a random variable. This results in conditional gauges, such as conditional quantiles or conditional expectations. In this paper, we apply such scalar gauges to the support function of a random closed convex set $\bX$. This leads to a set-valued extension of a gauge function. We also introduce a conditional variant whose values are themselves random closed convex sets. In special cases, this functional becomes the conditional set-valued quantile or the conditional set-valued expectation of a random set. In particular, in the unconditional setup, if $\bX$ is a random translation of a deterministic cone and the gauge is either a quantile or an expectile, we recover the cone distribution functions studied by Andreas Hamel and his co-authors. In the conditional setup, the conditional quantile of a random singleton yields the conditional version of the half-space depth-trimmed regions.