distance_matrix_mahalanobis: Pairwise distance matrix based on the mahalanobis distance

In AnomalyScore: Anomaly Scoring for Multivariate Time Series

Pairwise distance matrix based on the mahalanobis distance

Description

Pairwise distance matrix of a multivariate time series based on the Mahalanobis distance between two series, modified to consider the different scales of series

Usage

distance_matrix_mahalanobis(unit)

Arguments

unit	A matrix representing a multivariate time series where each column is a univariate time series.

Value

a matrix with pairwise distances

See Also

Prekopcsak, Zoltan, and Daniel Lemire. "Time Series Classification by Class-Specific Mahalanobis Distance Measures." Advances in Data Analysis and Classification 6, no. 3 (October 2012): 185-200. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1007/s11634-012-0110-6")}

Examples

X=matrix( rnorm(2000), ncol=10  )
distance_matrix_mahalanobis(unit=X )

AnomalyScore documentation built on April 4, 2025, 3:13 a.m.