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Expected and unexpected values of individual Mahalanobis distances


  • D. Dai
  • T. Holgersson
  • P. Karlsson


This paper derives first-order sampling moments of individual Mahalanobis distances (MDs) in cases when the dimension p of the variable is proportional to the sample size n. Asymptotic expected values when n, p → ∞ are derived under the assumption p/n → c, 0 ⩽ c

Suggested Citation

  • D. Dai & T. Holgersson & P. Karlsson, 2017. "Expected and unexpected values of individual Mahalanobis distances," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 46(18), pages 8999-9006, September.
  • Handle: RePEc:taf:lstaxx:v:46:y:2017:i:18:p:8999-9006
    DOI: 10.1080/03610926.2016.1200096

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    Cited by:

    1. Deliang Dai & Yuli Liang, 2021. "High-Dimensional Mahalanobis Distances of Complex Random Vectors," Mathematics, MDPI, vol. 9(16), pages 1-12, August.

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