Three estimators of the Mahalanobis distance in high-dimensional data

DOI10.1080/02664763.2012.725464OpenAlexW2002146830MaRDI QIDQ5127132

Peter S. Karlsson, H. E. T. Holgersson

Publication date: 21 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2012.725464

zbMATH Keywords

adaptive estimatorMahalanobis distanceridge estimatorsincreasing dimension data

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (3)

Mahalanobis distance based on minimum regularized covariance determinant estimators for high dimensional data ⋮ A risk perspective of estimating portfolio weights of the global minimum-variance portfolio ⋮ Two multivariate online change detection models

Cites Work

• Multivariate statistical analysis. A high-dimensional approach
• Statistical analysis of observations of increasing dimension. Transl. from the Russian
• Effect of dimensionality on discrimination
• Outlier..........s
• The resolvent and the spectral functions of sample covariance matrices of increasing dimension
• Multivariate Theory for Analyzing High Dimensional Data
• Analysis of Extreme Values
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