Description
d = mahal(Y,X) computes the Mahalanobis distance (in squared units) of each observation in Y from the reference sample in matrix X. If Y is n-by-m, where n is the number of observations and m is the dimension of the data, d is n-by-1. X and Y must have the same number of columns, but can have different numbers of rows. X must have more rows than columns.
For observation I, the Mahalanobis distance is defined by d(I) = (Y(I,:)-mu)*inv(SIGMA)*(Y(I,:)-mu)', where mu and SIGMA are the sample mean and covariance of the data in X. mahal performs an equivalent, but more efficient, computation.