[ENH] Mahalanobis distance

[krstopro]

Reference Issues/PRs

Fixes #1225.

What does this implement/fix? Explain your changes.

Implements Mahalanobis distance.

Any other comments?

Following "Learning a Mahalanobis Distance based Dynamic Time Warping Measure for Multivariate Time Series Classification" paper the square root is removed. Therefore, the distance implemented is actually the Mahalanobis distance squared. I am not sure about this.

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[chrisholder]

Hi @krstopro thanks so much for the PR! Great to have a new distance! If you're struggling with anything in regards to the tests or CICD stuff feel free to shoot me a message on slack so we can get this in quicker.

[aadya940]

Hey @krstopro , This looks really good. Also from what I remember, including mahalanobis_distance into aeon was still under discussion so I would recommend putting this on the slack channel.

[krstopro]

Hey @krstopro , This looks really good. Also from what I remember, including mahalanobis_distance into aeon was still under discussion so I would recommend putting this on the slack channel.

Oh, I see. I saw that the issue is open and decided to implement it.

[aadya940]

@krstopro Also, you rightly said that they've implemented the "squared" mahalanobis distance. In aeon, I think we should discuss it once if we want to implement the squared or a more general regular mahalanobis distance.

[krstopro]

@krstopro Also, you rightly said that they've implemented the "squared" mahalanobis distance. In aeon, I think we should discuss it once if we want to implement the squared or a more general regular mahalanobis distance.

I am not exactly sure on which Slack channel should I write. I've dropped you a message there.

[MatthewMiddlehurst]

@chrisholder @aadya940 @krstopro Just checking in, everything good with this PR? Feel free to ask questions if you need some help.

[krstopro]

@chrisholder @aadya940 @krstopro Just checking in, everything good with this PR? Feel free to ask questions if you need some help.

@MatthewMiddlehurst Yes, sorry. I was just busy and didn't write on Slack about it. Is it fine that I do it now?

[MatthewMiddlehurst]

Yep, feel free to work at your own pace. I would ask in the #distances channel, but other channels you think are relevant are also fine.

[aadya940]

@krstopro @MatthewMiddlehurst Mahalanobis is primarily significant in outlier detection, we could mention it somewhere in the docstring once the PR is done?

[MatthewMiddlehurst]

@chrisholder discussed fixing some of the testing issues on Slack. Just an FYI for others, not a push to do so asap 🙂.

[chrisholder]

Just an update @krstopro and I spoke on slack and he is implementing an update to make the distance symmetric (it currently isnt) and then I will finalise the tests for the distance.

[MatthewMiddlehurst]

Hi, any progress on the above @chrisholder @krstopro?

[krstopro]

@MatthewMiddlehurst Not yet, sorry. I hope to push by the end of the week. Apologies for the delay.

[MatthewMiddlehurst]

no rush if you are busy, just checking in 🙂