This paper introduces several depths for random sets with possibly non-convex realisations, proposes ways to estimate the depths based on the samples and compares them with existing ones. The depths are further applied for the comparison between two samples of random sets using a visual method of DD-plots and statistical testing. The advantage of this approach is identifying sets within the sample that are responsible for rejecting the null hypothesis of equality in distribution and providing clues on differences between distributions. The method is justified using a simulation study and applied to real data consisting of histological images of mastopathy and mammary cancer tissue.

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