Bounds for a multivariate extension of range over standard deviation based on the Mahalanobis distance (Q551282)

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Bounds for a multivariate extension of range over standard deviation based on the Mahalanobis distance
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    Bounds for a multivariate extension of range over standard deviation based on the Mahalanobis distance (English)
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    15 July 2011
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    This article plays central role in multivariate statistics. The range over standard deviations of a set of univariate data points is given a natural multivariate extension through the Mahalanobis distance. The problem of finding extrema of this multivariate extension of the ``range over standard deviations'' is investigated. The supremum (maximum) is found using Lagrangian methods and an interval is given for the infinimum. The independence of optimizing the Mahalanobis distance and the multivariate extension of the range is demonstrated, and connections are explored in several examples using an analogue of the ``hat'' matrix of linear regressions.
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    hat matrix
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    Lagrange
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    linear regression
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    multivariate outliers
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    computational problems
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