Abstract
Mahalanobis distances appear, often in a disguised form, in many statistical problems dealing with comparing two multivariate normal populations. Assuming a common covariance matrix the overlapping coefficient (Bradley, E.L. Encyclopedia of Statistical Sciences; 1985), optimal error rates (Rao, P.S.R.S.; Dorvlo, A.S.S. Commun. Statist. - Simula. Computation 1985,14,774-790), and the generalized ROC criterion (Reiser, B.; Faraggi, D. Biometrics 1997,55,644-652) are all monotonie functions of the Mahalanobis distance. Approximate confidence intervals for all of these have appeared in the literature on an ad-hoc basis. In this paper, we provide a unified approach to obtaining an effectively exact confidence interval for the Mahalanobis distance and all the above measures.
| Original language | English |
|---|---|
| Pages (from-to) | 37-45 |
| Number of pages | 9 |
| Journal | Communications in Statistics Part B: Simulation and Computation |
| Volume | 30 |
| Issue number | 1 |
| DOIs | |
| State | Published - 2001 |
Keywords
- Generalized Roc criterion
- Noncentral F
- Optimal error rate
- Overlapping coefficient
ASJC Scopus subject areas
- Statistics and Probability
- Modeling and Simulation