The Mahalanobis distance is a measure between a sample point and
a distribution.
The Mahalanobis distance from a vector x to a distribution with
mean μ and covariance Σ is
This distance represents how far x is from the
mean in number of standard deviations.
mahal
returns the squared Mahalanobis distance d2 from an observation in X
to a mixture
component in gm
.