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From: Greg Heath <heath@alumni.brown.edu>
Newsgroups: comp.soft-sys.matlab
Subject: Re: Distance between two distributions
Date: Fri, 30 Jan 2009 21:00:10 -0800 (PST)
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On Jan 30, 4:26 pm, Alex Zak <zak.a...@gmail.com> wrote:
> What is the best criteria to measure distance between two independent
> normal distributions using Matlab??
>
> Thanks.

1. Mahalanobis distance for linear classifiers is proportional to

(m2-m1)' * inv( (C1 + C2)/2 ) * (m2-m1)

2. Bhattycharya (Bhattacharya?) distance for linear and quadratic
classifiers is proportional to

(m2-m1)' * ( ( inv(C1) + inv(C2) )/2 ) * (m2-m1)

See Devijver and Kittler (1981?) for a comprehensive discussion of
separability measures.