Calculates the RDA covariance-matrix estimators for each class

Source: R/helper-cov.r

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

rda_cov(x, y, lambda = 1)

Arguments

x

Matrix or data frame containing the training data. The rows are the sample observations, and the columns are the features. Only complete data are retained.
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."