Spatial depth characterizes probability measures

Abstract

We solve two open problems about spatial (or geometric) quantiles and depth. First we show that in infinite dimension, the spatial distribution function and the associated spatial quantiles characterize the underlying distribution, which has been established in Koltchinski (1997) in finite dimension but remained unknown in infinite dimension. Second, and more surprisingly, we show that the spatial depth also fully characterizes probability measures, which has been an open problem even in finite dimension since the introduction of these concepts in Chaudhuri (1996) and Vardi & Zhang (2000). Our results provide theoretical foundations for nonparametric depth-based statistical inference and introduce novel proof techniques to investigate these questions for other depth and quantile concepts.