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From: Peter Perkins on 14 Sep 2008 21:13
Dilber Ayhan wrote:

> but what about (rx-1)?

I inadvertently left that out of my response to Baris.

> Peter Perkins <Peter.PerkinsRemoveThis(a)mathworks.com> wrote in message <g9jubp$pkv$1(a)fred.mathworks.com>...

>> D = Y0*S^(-1)*Y0'
>> = Y0*(X0'*X0)^(-1)*Y0'

Obviously, the estimate of S is (X0'*X0)/(n-1).
From: Peter Perkins on 14 Sep 2008 21:18
Dilber Ayhan wrote:
> Hi,
>
> as a second question, is multicollinearity prevented by using QR decomposition in mahal function? I knew it works, but using my data set, mahal function did not solve with mahal function and gave an error as "the matrix is singular"
> since there is multicollinearity (since correlation matrix includes 1s)

There may be a standard or unique or useful way to define the Mahalanobis distance for a singular cov matrix, but I'm not familiar with it. You could perhaps compute a distance along the degenerate subspace using a reduced cov matrix; MAHAL does not do that.
From: Dilber Ayhan on 17 Sep 2008 16:15
Thanks for your replies, Mr. Perkins

regards,

dilber ayhan


Peter Perkins <Peter.PerkinsRemoveThis(a)mathworks.com> wrote in message <gakd5d$khh$1(a)fred.mathworks.com>...
> Dilber Ayhan wrote:
> > Hi,
> >
> > as a second question, is multicollinearity prevented by using QR decomposition in mahal function? I knew it works, but using my data set, mahal function did not solve with mahal function and gave an error as "the matrix is singular"
> > since there is multicollinearity (since correlation matrix includes 1s)
>
> There may be a standard or unique or useful way to define the Mahalanobis distance for a singular cov matrix, but I'm not familiar with it. You could perhaps compute a distance along the degenerate subspace using a reduced cov matrix; MAHAL does not do that.

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