Median Absolute Deviation

Abstract

The Mahalanobis distance is a descriptive statistic that provides a relative measure of a data point's distance (residual) from a common point. It is a unitless measure introduced by P. C. Mahalanobis in 1936.[1] The Mahalanobis distance is used to identify and gauge similarity of an unknown sample set to a known one. It differs from Euclidean distance in that it takes into account the correlations of the data set and is scale-invariant. In other words, it has a multivariate effect size.