
Calculate Mahalanobis distance for the selected TableOfReal with respect to the selected Covariance object.
Count the number of items that are within 1, 2, 3, 4 and 5 standard deviations from the mean.
We first create a table with only one column and 10000 rows and fill it with numbers drawn from a normal distribution with mean zero and standard deviation one. Its covariance matrix, of course, is one dimensional. We next create a table with Mahalanobis distances.
n = 100000
t0 = Create TableOfReal: "table", n, 1
Formula: ~ randomGauss (0, 1)
c = To Covariance
selectObject: c, t0
ts = To TableOfReal (mahalanobis): "no"
for nsigma to 5
selectObject: ts
extraction = Extract rows where: ~ self < nsigma
nr = Get number of rows
nrp = nr / n * 100
expect = (1  2 * gaussQ (nsigma)) * 100
writeInfoLine: nsigma, "sigma: ", nrp, ", ", expect, ""
removeObject: extraction
endfor
© djmw, August 28, 2017