Estimating Individual Mahalanobis Distance in High-Dimensional Data
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KeywordsIncreasing dimension data; Mahalanobis distance; Inverse covariance matrix; Smoothing;
All these keywords.
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2014-05-17 (Econometrics)
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