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Mahalanobis distances of factor structured data
Linnaeus University, School of Business and Economics, Department of Economics and Statistics.ORCID iD: 0000-0002-0789-5826
2015 (English)In: Festschrift in honor of Professor Ghazi Shukur on the occasion of his 60th birthday / [ed] Thomas Holgersson, Linnaeus University Press, 2015, 1, 126-142 p.Chapter in book (Other academic)
Abstract [en]

In this paper, we implement the factor model for deriving the covariance matrix that is used for a Mahalanobis distance. The distributional properties of the new Mahalanobis distances are derived. A general case on contamination effects ofoutliers on Mahalanobis distances from separate parts of the factor model are also investigated. An empirical example indicates the difference between the new proposed separated Mahalanobis distances and the original Mahalanobis distance.

Place, publisher, year, edition, pages
Linnaeus University Press, 2015, 1. 126-142 p.
Keyword [en]
Factor model, Mahalanobis distance, Outlier detection, Systematic error
National Category
Economics Probability Theory and Statistics
Research subject
Statistics/Econometrics
Identifiers
URN: urn:nbn:se:lnu:diva-48845ISBN: 978-91-87925-90-0 (print)OAI: oai:DiVA.org:lnu-48845DiVA: diva2:895118
Available from: 2016-01-18 Created: 2016-01-18 Last updated: 2016-09-15Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
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Output format
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