Mahalanobis’ D-square distance.
Return the Mahalanobis’ D-square distance of the points in y from the distribution implied by points x.
Specifically, it uses a Cholesky decomposition to set
answer(i) = (y(i,:) - mean (x)) * inv (A) * (y(i,:)-mean (x))'
where A is the covariance of x.
The data x and y must have the same number of components (columns), but may have a different number of observations (rows).
Package: statistics