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Equal-covariance Gaussian classification error (Perror​=Φ(−D/2),D2=(μ1​−μ2​)TΣ−1(μ1​−μ2​))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Statistical inference Statistical decision theory Bayes classifier Gaussian Bayes classifier
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For two multivariate normal classes with equal priors and common positive-definite covariance, the optimal score is (μ1​−μ2​)TΣ−1(x−(μ1​+μ2​)/2). Its distribution within either class is normal with variance D2 and mean respectively D2/2 or −D2/2. Both class error probabilities are therefore the displayed normal tail.

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  1. Gaussian Bayes classifier
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  • Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 43 / 5 / ii / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2007 / iii / Paper 47 / 2 / c / Solution

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