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Monday, 18 March 2013

Mahalanobis distance and Gaussian distribution

The Mahalanobis distance is a distance measure that accounts for the covariance or "stretch" of the shape in which the data lies.

DMahalanobis(x,y)=(xy)TΣ1(xy)

This is very similar to the exponential term in the Gaussian distribution.

It is useful to get an intuitive feel about the standard deviation. In the one-dimensional case, where
p(x)=1σ2πe(xμ)22σ
the probability at one standard deviation away from the center is 1e (37%) of the peak probability.


Source:
https://en.wikipedia.org/wiki/File:Normal_Distribution_PDF.svg

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