Mahalanobis distance under non-normality
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Date
2010
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Taylor&Francis LTD
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Abstract
We give a novel estimator of Mahalanobis distance D2 between two non-normal populations. We show that it is enormously more efficient and robust than the traditional estimator based on least squares estimators. We give a test statistic for testing that D2=0 and study its power and robustness properties
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Keywords
Covariance Matrix, Least Squares, Mahalanobis Distance, Maximum Likelihood, Modified Maximum Likelihood, Multivariate, Non-Normality
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Citation
Islam, Q. (2010). Mahalanobis distance under non-normality. Statistics: A Journal of Theoretical and Applied Statistics, 44(3), 275-290. http://dx.doi.org/10.1080/02331880903043223
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Source
Statistics: A Journal of Theoretical and Applied Statistics
Volume
44
Issue
3
Start Page
275
End Page
290