Re: st: Calculating Mahalanobis distance

[Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>]

<>
To calculate the centred Mahalanobis distance between two variables as
here try this:
***********************************************
clear*
sysuse auto, clear
mata
real vector maha_dist(string scalar varlist, string scalar touse)
{
	real matrix mX
	real matrix mZ
	st_view(mX=., ., tokens(varlist), touse)
	mZ = mX :- mean(mX)
	return(sqrt(diagonal(mZ*invsym(cross(mZ, mZ)/(rows(mZ)-1) )*mZ')))
	
}
end
cap prog drop md
program define md
	version 11
	syntax varlist [if] [in], [GENerate(string )]
	marksample touse
	mata: vReturn = maha_dist("`varlist'", "`touse'")
	getmata `generate' = vReturn
end
md weight length, gen(md_w_l)
su md_w_l
***********************************************

You can put this in two -foreach- loops to calculate the distance
between a bunch of variables.

T

2010/5/3 Schijven, Mario <MSchijven@mays.tamu.edu>:
> Hi all,
>
> Does anyone know whether Stata has a pre-programmed command to compute Mahalanobis distance? So far, I've manually computed the Euclidean distance between two sets of firms in a dataset, but I need to compute the Mahalanobis distance. If Stata cannot do this, perhaps someone knows how to do it in Excel (i.e., how do I modify the formula for calculating Euclidean distance into one for Mahalanobis distance)?
>
> All the very best and many thanks in advance,
>
> Mario Schijven
> Mays Business School
> Texas A&M University
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>



-- 
To every ω-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).

*
*   For searches and help try:
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