Ex. 12.9

Ex. 12.9

Let \(\hat{\bb{Y}}=\bb{X}\hat{\bb{B}}\) be the fitted \(N\times K\) indicator response matrix after linear regression on the \(N\times p\) matrix \(\bb{X}\), where \(p > K\). Consider the reduced features \(x_i^\ast = \hat{\bb{B}}^Tx_i\). Show that LDA using \(x_i^\ast\) is equivalent to LDA in the original space.

Soln. 12.9

This is the same as Ex. 4.3.