Calculates the RDA covariance-matrix estimators for each class

Description

For the classes given in the vector y, this function calculates the class covariance-matrix estimators employed in the HDRDA classifier, implemented in hdrda.

Usage

1
rda_cov(x, y, lambda = 1)

Arguments

x

matrix containing the training data. The rows are the sample observations, and the columns are the features.

y

vector of class labels for each training observation

lambda

the RDA pooling parameter. Must be between 0 and 1, inclusively.

Value

list containing the RDA covariance-matrix estimators for each class given in y

References

Ramey, J. A., Stein, C. K., and Young, D. M. (2013), "High-Dimensional Regularized Discriminant Analysis."

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