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Estimate parameters in LDA
First, the means and covariance of the assumed gaussian distributions in each class need to be estimated. When , which means only one predictor, that is to estimate the class specific mean and the common variance . They can be estimated as follows where is the total number of training observations, and is the number of training observations in the kth class. When , which means multiple predictors, the estimation would be similar but much more complicated with parameters in the covariance matrix.
As for the prior probabilty , it can be estimated based on the proportion of class observations in the training set, which would be
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Updated 2020-02-26
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Data Science