>1.Do we have to assume that that distribution is Gaussian to have Maha >distance meaningful?
There are some results for the distribution of the statistic that do rely on the assumption hat the initial distribution is Gaussian . Assuming that you mean the case where the mean and covariance matrix are assumed known, the is result that statistic has a chi-squared distribution ... which does rely on the Gaussian assumption. But there is a related result that does not rely on the Gaussian assumption... specifically the mean value for the statistic is known ... but this does rely on having use the right covariance matrix. The variance of the statistic requires rather information but can be evaluated theoretically from the first four joint moments of the initial distribution. This is probably too complicated for practical use. There are several possibilities. (i) use probabilities derived from the chi-squared result, but don't treat them as anything more than a rough guide (ii) create a standardised statistic by subtracting off the mean and dividing by the standard deviation, both derived from the chi-squared result ... this at least would give something more easily related to the underlying data and not be so dependent on he Gaussian distribution in deriving ficticious/incorrect probabilities. (iii) use some sort of resampling technique or simulations to get abetter grip on the properties of the distribution .
Of course if you re using a version of the statistic where the mean and variance of the initial distribution have to be estimated from data, the situation is more complicated.
The Mahalanobis distance is a multivariate version of judging the distance of a point from a univariate distribution by scaling the distance from the mean by the population standard deviation, and is applicable to any distribution for which these moments exist. Of course, there may always be something better ... this would depend both on the distribution being used as the initial distribution and on the sort of departures from this distribution that are important in any particular context. There are several difficulties in defining general measures of how far a point is from a distribution, not least because of the potential effects of even simple 1-1 transformations of a multivariate space (and the Mahalanobis distance isn't immune from these difficulties, but at least one can look for a transformation yielding something close to a multivariate Gaussian distribution).
>2. I have two distributions in different coordinate spaces. Let's Space A >which has 3D, and Space B which has 2D. I have two points P1 with >coordinates [x, y, z] in Space A and P2 with >coordinates [ u, v ] in Space >B. I wonder if I can apply MH distance to compare which one ( either P1 or >P2) is closer to its corresponding distributions. Does comparison make >sense? >Do I have to do anything to normalize between two distributions>
Would you be prepared to compare the simple shifted and scaled (ie using mean and standard deviation) versions of measurements from two different univariate ditributions? The answer isn't obviously yes. If you look at properties of the Mahalanobis distance you will see that these do depend on the number of dimensions involved in the initial distributions, but you might choose to proceed either by converting to chi-squared exceedence probabilities (or equivalent), or by standardising by the mean and standard deviation of the Mahalanobis distance