A way of thinking about the role of the
inverse covariance matrix
• If the Gaussian is spherical we
don’t need to worry about the
covariance matrix.
• So we could start by
transforming the data space to
make the Gaussian spherical
– This is called “whitening”
the data.
– It pre-multiplies by the
matrix square root of the
inverse covariance matrix.
• In the transformed space, the
weight vector is just the
difference between the
transformed means.