Discriminant analysis of the equicorrelated Gaussian observations
Articles
Kęstutis Dučinskas
Klaipedos University
Jurgita Neverdauskaiė
Klaipedos University
Published 2021-06-15
https://doi.org/10.15388/LMR.2007.24230
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Keywords

equicorrelation
Bayes discriminant function
actual error rate
expected error rate

How to Cite

Dučinskas, K. and Neverdauskaiė, J. (2021) “Discriminant analysis of the equicorrelated Gaussian observations”, Lietuvos matematikos rinkinys, 47(spec.), pp. 364–368. doi:10.15388/LMR.2007.24230.

Abstract

In this paper the problem of classification of an observation into one of two Gaussian populations with different means and common variance is considered in the case when equicorrelated training sample is given. Unknown means and common variance are estimated from training sample and these estimators are pluged in the Bayes discriminant function. The maximum likelihood estimators are used. The approximation of the expected error rate associated with Bayes plug-in discriminant function is derived. Numerical analysis of the accuracy of that approximation for various values of correlation is presented.

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