The Mahalanobis distance is a measure between a sample point and
a distribution.

The Mahalanobis distance from a vector *y* to a distribution with
mean *μ* and covariance *Σ* is

This distance represents how far *y* is from the
mean in number of standard deviations.

`mahal`

returns the squared Mahalanobis distance *d*^{2} from an observation in `Y`

to the reference
samples in `X`

. In the `mahal`

function,
*μ* and *Σ* are the sample mean and covariance
of the reference samples, respectively.