Classification into two Multivariate Normal Distributions with Different Covariance Matrices

Linear procedures for classifying an observation as coming from one of two multivariate normal distributions are studied in the case that the two distributions differ both in mean vectors and covariance matrices. We find the class of admissible linear procedures, which is the minimal complete class of linear procedures. It is shown how to construct the linear procedure which minimizes one probability of misclassification given the other and how to obtain the minimax linear procedure; Bayes linear procedures are also discussed.