[R] Mahalanobis Distance

jorgeA thetroopermail at gmail.com
Mon Sep 26 21:05:06 CEST 2011

Hello R helpers,

I'm trying to use Mahalanobis distance to calculate distance of two time
series, to make some comparations with euclidean distance, DTW, etc, but I'm
having some dificults.

I have, for example, two objects:

s.1 <- c( 5.6324702,  1.3994353, -3.2572327, -3.8311846, -1.2248719, 
0.9894694, -2.2835332, -5.1969285, -5.2823988, -3.1499400, -1.7307950, 
2.8221209,  0.7005370,  4.9601216,  9.4527303)

s.2 <- c(-1.000489e-03, -8.577807e-04, -7.150633e-04, -5.716564e-04,
-4.280622e-04, -2.860101e-04, -1.451796e-04, -2.202688e-06,  1.441569e-04, 
2.891237e-04,  4.280430e-04,  5.652797e-04,  7.100960e-04,  8.619236e-04, 

when I try to calculate distance with *dist *function and *proxy *package
like this:

dist(rbind(s.1, s.2), method="mahalanobis")

I have the following error:
system is computationally singular: reciprocal condition number =

if I try with de* mahalanobis() *function I have the same problem
test <- rbind(s.1, s.2)
mahalanobis(test, center=colMeans(test), cov=var(test))

And trying with diferent series I have the following error:
"Lapack routine dgesv: system is exactly singular"

I found some similar errors on the mailing list, but couldn't find some
useful help for my case.

Am I doing something wrong? Isn't it possible to use mahalanobis distance
with that kind of data?

Thank you very much for your help.

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