Covariance Revisited

• Naive Bayes ignored covariance (assumed conditional independence)
• discriminant analyses (generative approach): fit multivariate Gaussians
• want: dimensionality reduction

Fisher’s linear discriminant analysis (FLDA) is a hybrid of discriminative and generative techniques, but limited to

\[K \leq C - 1 \text{ dimensions}\]

• \(C\): number of classes in response variable
• \(D\): number of dimensions in projected space