
Mahalanobis_distance and Gaussian distribution
Posted:
Jan 13, 2013 12:35 PM


from Wiki, http://en.wikipedia.org/wiki/Mahalanobis_distance Maha distance is to measure the probability if a point belongs to a distribution. Do we have to assume that that distribution is Gaussian to have Maha distance meaningful?
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>
Thank you.

