Abstract: | We consider the problem of discriminating between two independent multivariate normal populations, Np(μ1, Σ1) and Np(μ2, Σ2), having distinct mean vectors μ1 and μ2 and distinct covariance matrices Σ1 and Σ2. The parameters μ1, μ2, Σ1, and Σ2 are unknown and are estimated by means of independent random training samples from each population. We derive a stochastic representation for the exact distribution of the “plug-in” quadratic discriminant function for classifying a new observation between the two populations. The stochastic representation involves only the classical standard normal, chi-square, and F distributions and is easily implemented for simulation purposes. Using Monte Carlo simulation of the stochastic representation we provide applications to the estimation of misclassification probabilities for the well-known iris data studied by Fisher (Ann. Eugen.7 (1936), 179–188); a data set on corporate financial ratios provided by Johnson and Wichern (Applied Multivariate Statistical Analysis, 4th ed., Prentice–Hall, Englewood Cliffs, NJ, 1998); and a data set analyzed by Reaven and Miller (Diabetologia16 (1979), 17–24) in a classification of diabetic status. |