"I'm intimidated by the fear of being average."
– Taylor Swift
The EllipticEnvelope algorithm finds the center of the data samples and then draws an ellipsoid around that center. The radii of the ellipsoid in each axis are measured in the Mahalanobis distance. You can think of the Mahalanobis distance as a Euclideandistance whose units are the number of standard deviations in each direction. After the ellipsoid is drawn, the points that fall outside it can be considered outliers.
The multivariate Gaussian distribution is a key concept of the EllipticEnvelope algorithm. It's a generalization of the one-dimensional Gaussian distribution. If the Gaussian distribution is defined by single-valued mean and variance, then the multivariate Gaussian distribution is defined by matrices for means and covariances. The multivariate Gaussian distribution is then used to draw an ellipsoid that defines...
