Mahalanobis distance under non-normality

作者：Tiku Moti L; Islam M Qamarul^*; Qumsiyeh Sahar B

来源：Statistics, 2010, 44(3): 275-290.

DOI：10.1080/02331880903043223

• covariance matrix
• least squares
• Mahalanobis distance
• maximum likelihood
• modified maximum likelihood
• multivariate
• non-normality

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.

• 出版日期2010