STATISTICS, vol.44, no.3, pp.275-290, 2010 (SCI-Expanded)
Article / Article
Science Citation Index Expanded (SCI-EXPANDED), Scopus
covariance matrix, least squares, Mahalanobis distance, maximum likelihood, modified maximum likelihood, multivariate, non-normality, LINEAR-REGRESSION MODEL, CONFIDENCE-INTERVALS, MAXIMUM-LIKELIHOOD, ROBUST ESTIMATION, VARIANCE, DESIGN, DISTRIBUTIONS, PARAMETERS
Middle East Technical University Affiliated:
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.