I'm studying pattern recognition and statistics and almost every book I open on the subject I bump into the concept of Mahalanobis distance. The books give sort of intuitive explanations, but still not good enough ones for me to actually really understand what is going on. If someone would ask me "What is the Mahalanobis distance?" I could only answer: "It's this nice thing, which measures distance of some kind" :)
The definitions usually also contain eigenvectors and eigenvalues, which I have a little trouble connecting to the Mahalanobis distance. I understand the definition of eigenvectors and eigenvalues, but how are they related to the Mahalanobis distance? Does it have something to do with changing the base in Linear Algebra etc.?
I have also read these former questions on the subject:
I have also read this explanation.
The answers are good and pictures nice, but still I don't really get it...I have an idea but it's still in the dark. Can someone give a "How would you explain it to your grandma"-explanation so that I could finally wrap this up and never again wonder what the heck is a Mahalanobis distance? :) Where does it come from, what, why?
Here is something which helps understanding the Mahalanobis formula: