Optimal Recovery of Mahalanobis Distance in High Dimension
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In this paper, we study the problem of Mahalanobis distance (MD) estimation from high-dimensional noisy data. By relying on recent transformative results in covariance matrix estimation, we demonstrate the sensitivity of MD to measurement noise, determining the exact asymptotic signal-to-noise ratio at which MD fails, and quantifying its performance otherwise. In addition, for an appropriate loss function, we propose an asymptotically optimal shrinker, which is shown to be beneficial over the classical implementation of the MD, both analytically and in simulations.
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