This is note I wrote as I was take following lecture http://www.kocw.net/home/search/kemView.do?kemId=1189957 ================================================================================ Mahalanobis distance: distance between 2 vectors x and y $$$||x-y||_{\Sigma^{-1}}^2 = (x-y)^{T} \Sigma^{-1} (x-y)$$$ Euclidean distance uses I instead of $$$\Sigma^{-1}$$$ ================================================================================