Mahalanobis distance under non-normality


Tiku M. L. , Islam M. Q. , Qumsiyeh S. B.

STATISTICS, vol.44, no.3, pp.275-290, 2010 (Journal Indexed in SCI) identifier identifier

  • Publication Type: Article / Article
  • Volume: 44 Issue: 3
  • Publication Date: 2010
  • Doi Number: 10.1080/02331880903043223
  • Title of Journal : STATISTICS
  • Page Numbers: pp.275-290

Abstract

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.