Mahalanobis Distance

The Mahalanobis distance measure how far is a data

point in a given distribution from its mean value.

It can be also used to give a notion of distance, between

two points in the distribution.

Depending of what we choose as the covariance matrix and the data points, it can be reduced
to IOI or the usual Euclidean distance (if covariance matrix becomes the identity).
Bhattacharyya Distance
The Bhatacharyya distance generalizes Mahalanobis distance with an extra term

Given two distributions, it is defined as

Bhattacharyya distance may be useful to give a notion of the overlap of two distributions.
Bhattacharyya Distance

Non-zero term Non-zero term

 Hellinger Distance
The Hellinger distance is closely related to the
Bhattacharyya distance. It is defined by:

It gives a measure of the overlap of two distributions.

However, as it is bounded, if two distributions do not
overlap, Hellinger distance gets in disadvantage
compared with the Bhattacharyya distance.

Hellinger distance for gaussian case