Mahalanobis Distance - covariance-adjusted distance accounting for inter-criterion correlations

1. 1. Compute the Mahalanobis Distance between vectors a and b.

   $$d_{Mah}(\mathbf{x},\mathbf{\mu })=\sqrt{(\mathbf{x}-\mathbf{\mu }{)}^{\top }{\Sigma }^{-1}(\mathbf{x}-\mathbf{\mu })}$$