HotAd9055 t1_j2xd5gd wrote on January 4, 2023 at 4:45 PM Reply to [R] Measuring similarity between different vectors using Mahalanobis distance by eiliya_20 Add an identity matrix to the covariance before taking the inverse. It works. Otherwise, if you are looking for outliers consider using a shrinkage procedure as in http://www.ledoit.net/honey.pdf Permalink 4
HotAd9055 t1_j2xd5gd wrote
Reply to [R] Measuring similarity between different vectors using Mahalanobis distance by eiliya_20
Add an identity matrix to the covariance before taking the inverse. It works. Otherwise, if you are looking for outliers consider using a shrinkage procedure as in http://www.ledoit.net/honey.pdf