[R] Mahalanobis Distance

david.jessop at ubs.com david.jessop at ubs.com
Tue Sep 27 10:20:22 CEST 2011


One thought would be to fit say a GARCH model to your historical data series, divide the returns by the sigma estimates and then repeat.  This would have the advantage of getting the data to be closer to the same scale. 



-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of jorgeA
Sent: 26 September 2011 21:07
To: r-help at r-project.org
Subject: Re: [R] Mahalanobis Distance

Hello David,

Thank you for the help anyway. Well answering your question "However, I wonder how much value there is to computing the Mahalanobis distance with two variables that are measured on such different scales?":

These two variables are subseries of the same time series. What I'm doing is using one method of forecasting time series that searches in the past of the time series, similar subseries to be an input of a forecasting function. I'm testing several distance measures, and one of that is the mahalanobis

But right now I'm stuck with this problem....

Best regards,

Jorge Aikes Junior
Universidade Estadual do Oeste do Paraná - Brazil.

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