Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.

Re: st: Calculating Mahalanobis distance

 From Tirthankar Chakravarty To statalist@hsphsun2.harvard.edu Subject Re: st: Calculating Mahalanobis distance Date Tue, 4 May 2010 02:38:44 +0530

```<>
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
> 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:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/
```