Point estimators of the Mahalanobis distance in high-dimensional data
(English)Manuscript (preprint) (Other academic)
This paper concerns the problem of estimating the Mahalanobis distance when the dimension of the data matrix is comparable to the sample size. Two different ridge-shrinkage estimators are considered and estimators of related risk functions are derived. The properties of these point estimators are investigated in terms of excess risk and bias relative to the traditional estimator.
Ridge estimators, resolvent estimators, inverse covariance matrix, increasing dimension, Mahalanobis distance
Probability Theory and Statistics
IdentifiersURN: urn:nbn:se:hj:diva-31980OAI: oai:DiVA.org:hj-31980DiVA: diva2:1037094