Three estimators of the Mahalanobis distance in high-dimensional data

This paper treats the problem of estimating the Mahalanobis distance for the purpose of detecting outliers in high-dimensional data. Three ridge-type estimators are proposed and risk functions for deciding an appropriate value of the ridge coefficient are developed. It is argued that one of the ridge estimator has particularly tractable properties, which is demonstrated through outlier analysis of real and simulated data.

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Year of publication:	2012
Authors:	Holgersson, H. E.T. ; Karlsson, Peter S.
Published in:	Journal of Applied Statistics. - Taylor & Francis Journals, ISSN 0266-4763. - Vol. 39.2012, 12, p. 2713-2720
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010624125