Quant analytics: Invariance of the Mahalanobis distance

Quant analytics: Invariance of the Mahalanobis distance Open question: the Mahalanobis distance (cfr here:http://en.wikipedia.org/wiki/Mahalanobis_distance) is scale invariant; thus if I replace all vectors X by aX, the distances don’t change. Does it hold for general linear transformations? I think it’s true if I replace every X by DX where D is diagonal (the proof should …

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