Mahalanobis distance under non-normality

被引：2

作者：

Tiku, Moti L. ^{[2
]}

Islam, M. Qamarul ^{[1
]}

Qumsiyeh, Sahar B. ^{[3
]}

机构：

[1] Cankaya Univ, Dept Econ, TR-06530 Ankara, Turkey

[2] Middle E Tech Univ, Dept Stat, TR-06531 Ankara, Turkey

[3] Arab Amer Univ Jenin, Dept Math & Stat, Jenin, Israel

来源：

STATISTICS | 2010年 / 44卷 / 03期

关键词：

covariance matrix; least squares; Mahalanobis distance; maximum likelihood; modified maximum likelihood; multivariate; non-normality; LINEAR-REGRESSION MODEL; CONFIDENCE-INTERVALS; MAXIMUM-LIKELIHOOD; ROBUST ESTIMATION; VARIANCE; DESIGN; DISTRIBUTIONS; PARAMETERS;

D O I：

10.1080/02331880903043223

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页码：275 / 290

页数：16

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