MATLAB File Help: prtDistanceMahalanobis
  prtDistanceMahalanobis   Mahalanobis distance.
    DIST = prtDistanceMahalanobis(DS1,DS2) calculates the Mahalanobis
    distance from all the observations in datasets DS1 to DS2, and ouputs a
    distance matrix of size DS1.nObservations x DS2.nObservations.  The
    covariance matrix in the Mahalanobis is estimated from both the data in
    DS1 and DS2. DS1 and DS2 should have the same number of features. DS1
    and DS2 should be prtDataSet objects.
    DIST = prtDistanceMahalanobis(DS1,DS2, COVAR) specifies the covariance
    matrix to use.
    For more information on the Mahalanobis distance, see:
   % Example:
   X = [0 0; 1 1];      % Create some data, store  in prtDataSetStandard
   Y = [1 0; 2 2; 3 3;];
   dsx = prtDataSetStandard(X);
   dsy = prtDataSetStandard(Y);
   covMat = [1 0; 0 2;];         % Specify the covariance matrix
   % Compute the distance
   distance = prtDistanceMahalanobis(dsx,dsy,covMat)
See also