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Three estimators of the Mahalanobis distance in high-dimensional data
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
Jönköping University, Jönköping International Business School, JIBS, Economics, Finance and Statistics.
2012 (English)In: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 39, no 12, p. 2713-2720Article in journal (Refereed) Published
Abstract [en]

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

Place, publisher, year, edition, pages
Taylor & Francis, 2012. Vol. 39, no 12, p. 2713-2720
Keywords [en]
ridge estimators, increasing dimension data, Mahalanobis distance, adaptive estimator
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:hj:diva-19277DOI: 10.1080/02664763.2012.725464ISI: 000310130900013Scopus ID: 2-s2.0-84867841961OAI: oai:DiVA.org:hj-19277DiVA, id: diva2:547732
Available from: 2012-08-28 Created: 2012-08-28 Last updated: 2019-02-25Bibliographically approved

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