Difference between revisions of "Mahalanobis Distance"
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Latest revision as of 21:02, 11 September 2020
Definition
The Mahalanobis Distance of an observation of random vector X that is sampled from a multivariate distribution is a measure of its "distance" from the mean of the distribution
Formula
where
- X is a vector of observations
- is the covariance matrix
- is the mean vector
If the covariance matrix is the identity matrix, the Mahalanobis distance reduces to the Euclidean distance