High Dimensional Quadratic Discriminant Analysis: Optimality and Phase Transitions

Wanjie Wang, Jingjing Wu, Zhigang Yao

Consider a two-class classification problem where we observe samples $(X_i,Y_i)$ for i = 1, ..., n, $X_i\in R^p$ and $Y_i$ in {0, 1}. Given $Y_i=k$, $X_i$ is assumed to follow…