http://www.aiaccess.net/English/Glossaries/GlosMod/e_gm_covariance_matrix.htm马氏距离
对normalized Euclidean distance的扩展。
两种特殊情况:
一:如果是单位矩阵
If the covariance matrix is the identity matrix, the Mahalanobis distance reduces to the Euclidean distance.
二:如果是协方差矩阵式对角矩阵
If the covariance matrix is diagonal, then the resulting distance measure is called the normalized Euclidean distance
广泛使用:
Mahalanobis distance is widely used in cluster analysis and other classification techniques. It is closely related to Hotelling's T-square distribution used for multivariate statistical testing and Fisher's Linear Discriminant Analysis that is used for supervised classification.[6]
协方差
http://www.aiaccess.net/English/Glossaries/GlosMod/e_gm_covariance_matrix.htm