Computing Science Group STABILITY OF THE MAHALANOBIS DISTANCE: A TECHNICAL NOTE
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چکیده
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 nearsingular matrices, and empirical estimation of mean and covariance, with particular application to the problem in [1].
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تاریخ انتشار 2010