depthMah function

Mahalanobis Depth

Computes the mahalanobis depth of a point or vectors of points with respect to a multivariate data set.

depthMah(u, X, cov = NULL, mean = NULL, threads = -1)

Arguments

• u: Numerical vector or matrix whose depth is to be calculated. Dimension has to be the same as that of the observations.
• X: The data as a matrix, data frame or list. If it is a matrix or data frame, then each row is viewed as one multivariate observation. If it is a list, all components must be numerical vectors of equal length (coordinates of observations).
• cov: custom covariance matrix passed. If NULL standard calculations will be based on standard covariance estimator.
• mean: custom mean vector. If null --- mean average will be used.
• threads: number of threads used in parallel computations. Default value -1 means that all possible cores will be used.

Details

Calculation of Mahalanobis depth is exact.

Returns the depth of multivariate point u with respect to data set X.

Examples

x <- matrix(rnorm(9999), nc = 3)
depthMah(x, x)

Author(s)

Daniel Kosiorowski, Mateusz Bocian, Anna Wegrzynkiewicz and Zygmunt Zawadzki from Cracow University of Economics.