Tag Archives: mahalanobis distance

Let $\mathbf x$ be a vector, and assume we have a distribution with mean $\mathbf \mu$ and covariance matrix $S$. The Mahalanobis distance with respect to the distribution is defined as $$D(\mathbf x) = \sqrt{(\mathbf x – \mathbf \mu)^TS^{-1}(\mathbf x … Continue reading →