Scandinavian Working Papers in Economics

Working Paper Series in Economics and Institutions of Innovation,
Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies

No 362: Estimating Individual Mahalanobis Distance in High-Dimensional Data

Deliang Dai (), Thomas Holgersson () and Peter Karlsson ()
Additional contact information
Deliang Dai: Linnaeus university, Postal: SE 351 95, , Växjö, , Sweden
Thomas Holgersson: Linnaeus university, Jönköping university, & Centre of Excellence for Science and Innovation Studies (CESIS), Postal: SE 551 11, , Jönköping, , Sweden
Peter Karlsson: Linnaeus university & Jönköping university,, Postal: SE 551 11, , Jönköping, , Sweden

Abstract: This paper treats the problem of estimating individual Mahalanobis distances (MD) in cases when the dimension of the variable p is proportional to the sample size n. Asymptotic expected values are derived under the assumption p/n->c, 0

Keywords: Increasing dimension data; Mahalanobis distance; Inverse covariance matrix; Smoothing

JEL-codes: C38; C46; C50

27 pages, May 6, 2014

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