cov_pool {sparsediscrim}

Computes the pooled maximum likelihood estimator (MLE) for the common covariance matrix

Description

For the matrix x, we compute the MLE for the population covariance matrix under the assumption that the data are sampled from K multivariate normal populations having equal covariance matrices.

Usage

cov_pool(x, y)

Arguments

x

data matrix with n observations and p feature vectors

y

class labels for observations (rows) in x

Value

pooled sample covariance matrix of size p \times p

Examples

cov_pool(iris[, -5], iris$Species)