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Mahalanobis distance under non-normality

Tiku, Moti L.
İslam, Muhammed Qamarul
Qumsiyeh, Sahar B.
We give a novel estimator of Mahalanobis distance D2 between two non-normal populations. We show that it is enormously more efficient and robust than the traditional estimator based on least squares estimators. We give a test statistic for testing that D2=0 and study its power and robustness properties.