In linear discriminant analysis, we first pool the within class covariance matrix to form S_w, and then consider inv(S_w) * (m_1 - m_2) for the direction for projection.
The use of pooled covariance matrix essentially assumes that the covariance matrices of the two classes are similar. What happens if this assumption is significantly violated? Is there any special name of this problem? Has this been considered in the literature? Thank you in advance. . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
