If X∼Normal(μ,σ2)X \sim \text{Normal}(\mu, \sigma^2)X∼Normal(μ,σ2), what is the squared Mahalanobis distance D2=(X−μ)2σ2D^2 = \frac{(X-\mu)^2}{\sigma^2}D2=σ2(X−μ)2?
Normal(0,1)\text{Normal}(0, 1)Normal(0,1)
χ2(1)\chi^2(1)χ2(1)
Gamma(1,1)\text{Gamma}(1, 1)Gamma(1,1)
Uniform(0,1)\text{Uniform}(0, 1)Uniform(0,1)