Mahalanobis distance under non-normality

Islam, M. Qamarul2016-06-142016-06-142010Islam, Q. (2010). Mahalanobis distance under non-normality. Statistics: A Journal of Theoretical and Applied Statistics, 44(3), 275-290. http://dx.doi.org/10.1080/023318809030432230233-1888http://hdl.handle.net/20.500.12416/1100We 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 propertieseninfo:eu-repo/semantics/closedAccessCovariance MatrixLeast SquaresMahalanobis DistanceMaximum LikelihoodModified Maximum LikelihoodMultivariateNon-NormalityMahalanobis distance under non-normalityMahalanobis Distance Under Non-NormalityArticle44327529010.1080/02331880903043223