Depth-Based Classification for Distributions with Nonconvex Support

Halfspace depth became a popular nonparametric tool for statistical analysis of multivariate data during the last two decades. One of applications of data depth considered recently in literature is the classification problem. The data depth approach is used instead of the linear discriminant analysis mostly to avoid the parametric assumptions and to get better classifier for data whose distribution is not elliptically symmetric, for example, skewed data. In our paper, we suggest to use weighted version of halfspace depth rather than the halfspace depth itself in order to obtain lower misclassification rate in the case of “nonconvex” distributions. Simulations show that the results of depth-based classifiers are comparable with linear discriminant analysis for two normal populations, while for nonelliptic distributions the classifier based on weighted halfspace depth outperforms both linear discriminant analysis and classifier based on the usual (nonweighted) halfspace depth.