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The Mahalanobis distance or rather its square is defined as :

[itex](X-\mu)^2/\Sigma[/itex] which is then written as

[itex](X-\mu)^{T} Ʃ^{-1}(X-\mu)[/itex]

Ʃ is the covariance matrix. My silly question is why is the sigma placed in the middle of the dot product of the (X-μ) vector with itself. I am sure this makes sense mathematically (this reduces the output to a scalar) but I would like to know the intuitive reason behind it.

Thanks a lot!

Anja

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# Newbie question: Algebra of Mahalanobis distance

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