A redefinition of mahalanobis depth function
Keywords:center, covariance matrix, Mahalanobis depth, multivariate ordering,
AbstractDepth function is a new notion intensively developed in the last decade in the field of non-parametric statistics, computational geometry, algebra, and computer science. It is closely related to multivariate ordering, robust estimation, and outlier detection. One of the most widely used in statistics and related areas is the so-called Mahalanobis depth. In this paper we redefine that depth function by introducing a new one which is equivalent to the former, in the sense that they give the same multivariate ordering, less complicated to compute, and generalizes the “vanishing at infinity” property of depth function.
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