This may be a quite silly question and please correct me if I'm wrong.

The discriminants (discriminant axes) are essentially eigenvectors of $\mathrm{Cov}_\mathrm{within}^{-1} \mathrm{Cov}_\mathrm{between}$, so why are they not orthogonal?

I've found a lot of papers stating they have made improvements to make LDA orthogonal... but I don't get why it's not orthogonal in the first place.

  • 3
    $\begingroup$ Because if matrices A and B are both symmetric, the product AB is not necessarily symmetric. And orthogonality of eigenvectors only holds for symmetric matrices. $\endgroup$ – amoeba Jul 6 '18 at 15:57
  • $\begingroup$ (But reasonable question, +1.) $\endgroup$ – amoeba Jul 6 '18 at 15:58

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