Dai, Deliang; Holgersson, Thomas; Karlsson, Peter - Centre of Excellence for Science and Innovation … - 2014
This paper treats the problem of estimating individual Mahalanobis distances (MD) in cases when the dimension of the variable p is proportional to the sample size n. Asymptotic expected values are derived under the assumption p/n-c, 0=c1 for both the traditional and the leave-one-out estimators....