Mahalanobis Distances on Factor Model Based Estimation
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 o...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-03-01
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| Series: | Econometrics |
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| Online Access: | https://www.mdpi.com/2225-1146/8/1/10 |