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Probability Inequalities and Errors in Classification
Let $X$ and $Y$ be two $p \times 1$ random vectors distributed according to a normal distribution with respective mean vectors $\mu$ and $a\mu$ and covariance matrix $\begin{pmatrix}I_p & \rho I_p \\ \rho I_p & I_p\end{pmatrix}.$ Let $S$ be a random $p \times p$ matrix distributed as the Wishart distribution …