Greetings,
I am puzzled about why the _classical_ Mahalanobis distances that I get using
the {stats} mahalanobis() function do not match the distances I get from the
{robustbase} covMcd() function. Here is an example:
x <- matrix(rnorm(10*3), ncol = 3)
#here is the {stats} result:
Sx <- cov(x)
D2 <- mahalanobis(x, colMeans(x), Sx)
D2
[1] 1.5135795 1.3761046 1.0367444 1.8111585 4.3038621 5.3195918 3.2798665
5.7559301
[9] 2.2172150 0.3859475
#here is the {robustbase} result
Library(robustbase)
D2rb<- covMcd(x)
D2rb$raw.mah
[1] 0.7737193 1.1177445 0.7290794 0.6275703 3.5517622 6.0334350 1.0582663
5.7169250
[9] 0.9420184 0.4210470
According to the help file for covMcd{robustbase}
raw.mah mahalanobis distances of the observations based on the raw estimate of
the location and scatter.
So I think the second set of numbers should match the first. But they do not.
What am I missing here?
Thanks, Fraser
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