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Compute the Mahalanobis Distance

Mahalonobis distance is the distance between a point and a distribution.
And not between two distinct points. It is effectively a multivariate equivalent of the Euclidean distance.
It was introduced by Prof. P. C. Mahalanobis in 1936
and has been used in various statistical applications ever since
[source: https://www.machinelearningplus.com/statistics/mahalanobis-distance/]