[R] Pooled Covariance Matrix

Murray Jorgensen maj at stats.waikato.ac.nz
Wed Sep 20 06:45:15 CEST 2006

I am in a discriminant analysis situation with a frame containing 
several variables and a grouping factor, if you like:

exampledf <- as.data.frame(matrix(rnorm(50,5,2),nrow=10,ncol=5))
exampledf$Group <- factor(rep(c(1,2,3),c(3,3,4)))

I'm sure there must be a simple way to get the within group pooled 
covariance matrix but I haven't found it yet.

I started thinking that one might begin by forming a frame with the same 
  dimensions but containing the group means. But then I found a thread 
from two years back called "Getting the groupmean for each person" which 
seemed to imply that doing this was a bit subtle even for ncol=1. Hence 
I will risk a question to the list.

Thanks for any help,  Murray Jorgensen

Dr Murray Jorgensen      http://www.stats.waikato.ac.nz/Staff/maj.html
Department of Statistics, University of Waikato, Hamilton, New Zealand
Email: maj at waikato.ac.nz                                Fax 7 838 4155
Phone  +64 7 838 4773 wk    Home +64 7 825 0441    Mobile 021 1395 862

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