Abstract
This chapter describes some measures for discriminating between normal multivariate distributions with unequal covariance matrices. The chapter presents the Kullback–Leibler information numbers and explains how they relate to S and T, where S is a measure that indicates how well one may discriminate between two normal multivariate distributions using a linear discriminant function, and where T is a measure appropriate for using a likelihood-ratio test. The Kullback-Leibler numbers are additive in the sense that the information for two independent experiments is the sum of two informations.
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