mahalanobis distance with non symmetric and positive covariance

2015 2 22
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更新时间：2015 2 23
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I have an array of 36 vectors with 46 dimensions. I'm trying to find the distance between my 36 vectors by using mahalanobis distance. I can't apply it in matlab because the covariance result is not symmetric and positive definite.
Could you help me with that please ?

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回答（2 个）

John D'Errico
John D'Errico 2015-2-22

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You can always use my nearestSPD tool, as posted on the file exchange.
A covariance matrix based on fewer samples than variables must always be singular. I'm not sure what this says about the distances you would compute, but nearestSPD will make a matrix usable for any tool that requires a Cholesky decomposition.
feras almasri
feras almasri 2015-2-23

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Thanks a lot that helped. But I think the result is not appropriate to use the mahalanobis distance cause the matrix result was wrong.

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