Artikel
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 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.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-11 ; Basel: MDPI
- Klassifikation
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Wirtschaft
- Thema
-
covariance matrix estimation
dimension reduction
multivariate analysis
outlier detection
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dai, Deliang
- Ereignis
-
Veröffentlichung
- (wer)
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MDPI
- (wo)
-
Basel
- (wann)
-
2020
- DOI
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doi:10.3390/econometrics8010010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Dai, Deliang
- MDPI
Entstanden
- 2020
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