Modified confidence intervals for the Mahalanobis distance

Paul H. Garthwaite, Fadlalla G. Elfadaly and John R. Crawford

Statistics & Probability Letters, 2017, vol. 127, issue C, 131-137

Abstract: Reiser (2001) proposes a method of forming confidence interval for a Mahalanobis distance that yields intervals which have exactly the nominal coverage, but sometimes the interval is (0,0). We consider the case where Mahalanobis distance quantifies the difference between an individual and a population mean, and suggest a modification that avoids implausible intervals.

Keywords: Credible interval; Noncentral F; Objective prior (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.03.029

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