Aaron Schlegel's Notebook of Interesting Things

Quadratic discriminant analysis for classification is a modification of linear discriminant analysis that does not assume equal covariance matrices amongst the groups (\(\Sigma_1, \Sigma_2, \cdots, \Sigma_k\)). Similar to LDA for several groups, quadratic discriminant analysis for several groups classification seeks to find the group that maximizes the quadratic classification function and assign the observation vector \(y\) to that group.

LDA assumes the groups in question have equal covariance matrices (\(\Sigma_1 = \Sigma_2 = \cdots = \Sigma_k\)). Therefore, when the groups do not have equal covariance matrices, observations are frequently assigned to groups with large variances on the diagonal of its corresponding covariance matrix (Rencher, n.d., pp. 321). Quadratic discriminant analysis is a modification of LDA that does not assume equal covariance matrices amongst the groups. In quadratic discriminant analysis, the respective covariance matrix \(S_i\) of the \(i^{th}\) group is employed in predicting the group membership of an observation, rather than the pooled covariance matrix \(S_{p1}\) in linear discriminant analysis.

Discriminant analysis is also applicable in the case of more than two groups. In the first post on discriminant analysis, there was only one linear discriminant function as the number of linear discriminant functions is \(s = min(p, k − 1)\), where \(p\) is the number of dependent variables and \(k\) is the number of groups. In the case of more than two groups, there will be more than one linear discriminant function, which allows us to examine the groups' separation in more than one dimension.

Cholesky decomposition, also known as Cholesky factorization, is a