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Mahalanobis Distances on Factor Model Based Estimation

Author

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  • Deliang Dai

    (Department of Economics and Statistics, Linnaeus university, 351 95 Växjö, Sweden)

Abstract

A factor model based covariance matrix is used to build a new form of Mahalanobis distance. The distribution and relative properties of the new Mahalanobis distances are derived. A new type of Mahalanobis distance based on the separated part of the factor model is defined. Contamination effects of outliers detected by the new defined Mahalanobis distances are also investigated. An empirical example indicates that the new proposed separated type of Mahalanobis distances predominate the original sample Mahalanobis distance.

Suggested Citation

  • Deliang Dai, 2020. "Mahalanobis Distances on Factor Model Based Estimation," Econometrics, MDPI, vol. 8(1), pages 1-11, March.
    • Handle: RePEc:gam:jecnmx:v:8:y:2020:i:1:p:10-:d:328603
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    References listed on IDEAS

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    5. David A. Harville, 1997. "Matrix Algebra From a Statistician’s Perspective," Springer Books, Springer, number 978-0-387-22677-4, March.
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