STABILITY OF THE MAHALANOBIS DISTANCE:A TECHNICAL NOTE
Andrew D. Ker
Abstract
When we estimate the Mahalanobis distance of one point from a cluster of points,there are a number of potential sources of error. This is particularly so if the cluster is strongly correlated, which implies that its covariance matrix is ill-conditioned. Here we analyse the magnitude of the errors introduced by round-off, inversion of near-singular matrices, and empirical estimation of mean and covariance, with particular application to the problem in [1].
Institution
OUCL
Month
October
Number
RR−10−20
Price
9
Year
2010