Scatter halfspace depth: Geometric insights
Scatter halfspace depth is a statistical tool that allows one to quantify the fitness of a candidate covariance matrix with respect to the scatter structure of a probability distribution. The depth enables simultaneous robust estimation of location and scatter, and nonparametric inference on these. A handful of remarks on the definition and the properties of the scatter halfspace depth are provided. It is argued that the currently used notion of this depth is well suited especially for symmetric...