title: How to calculate Mahalanobis distance between two time series of equal dimensions?
body: <p>I am doing some data-mining on time series data. I need to calculate the distance or similarity between two series of equal dimensions. I was suggested to use Euclidean distance, Cos Similarity or Mahalanobis distance. The first two didn't give any useful information. I cannot seem to understand the various tutorials on the web.</p>
  
  <p>So,</p>
  
  <p><strong>Given two vectors A(a1, a2, a3,...,an) and B(b1, b2, b3,...,bn) how do you find the Mahalanobis distance between them?</strong></p>
  
  <p>(I received advice on using these distance measures on <a href="https://stackoverflow.com/questions/2887541/similarity-in-data-mining">SO</a> itself, and there is a <a href="https://stackoverflow.com/questions/2859970/about-cosine-similarity">question</a> on how to calculate Cos similarity; so please consider before closing this question)</p>