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Three estimators of the Mahalanobis distance in high-dimensional data
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
Högskolan i Jönköping, Internationella Handelshögskolan, IHH, Economics, Finance and Statistics.
2012 (engelsk)Inngår i: Journal of Applied Statistics, ISSN 0266-4763, E-ISSN 1360-0532, Vol. 39, nr 12, s. 2713-2720Artikkel i tidsskrift (Fagfellevurdert) 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.

sted, utgiver, år, opplag, sider
Taylor & Francis, 2012. Vol. 39, nr 12, s. 2713-2720
Emneord [en]
ridge estimators, increasing dimension data, Mahalanobis distance, adaptive estimator
HSV kategori
Identifikatorer
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
Tilgjengelig fra: 2012-08-28 Laget: 2012-08-28 Sist oppdatert: 2019-02-25bibliografisk kontrollert

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