Infinite-dimensional Mahalanobis Distance with Applications to Kernelized Novelty Detection

Nikita Zozoulenko, Thomas Cass, Lukas Gonon

The Mahalanobis distance is a classical tool used to measure the covariance-adjusted distance between points in ${\mathbb{R}}^d$. In this work, we extend the concept of Mahalanobis distanc…