David Cross is correct. Your covariance matrix is singular because you have more columns (15) than rows (2). David actually produced the covariance matrix for cbind(s.1, s.2) which is not singular, but you are using rbind(s.1, s.2). Try cor(rbind(s.1, s.2)) and you will see that the correlations are all +/-1.
---------------------------------------------- David L Carlson Associate Professor of Anthropology Texas A&M University College Station, TX 77843-4352 -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of david.jes...@ubs.com Sent: Tuesday, September 27, 2011 3:20 AM To: thetrooperm...@gmail.com; r-help@r-project.org Subject: Re: [R] Mahalanobis Distance Hi 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. Regards David -----Original Message----- From: r-help-boun...@r-project.org [mailto:r-help-boun...@r-project.org] On Behalf Of jorgeA Sent: 26 September 2011 21:07 To: r-help@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 distance. But right now I'm stuck with this problem.... Best regards, Jorge Aikes Junior Universidade Estadual do Oeste do Paraná - Brazil. -- View this message in context: http://r.789695.n4.nabble.com/Mahalanobis-Distance-tp3844960p3845168.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Issued by UBS AG or affiliates to professional =\ invest...{{dropped:10}} ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
