Dimension reduction for predictive discrimination (Q1081252): Difference between revisions
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English | Dimension reduction for predictive discrimination |
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Dimension reduction for predictive discrimination (English)
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1986
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Let the discrimination procedure for the classes \(\Pi_ i\) be based on the density functions \(P(x| \Pi_ i,\theta)\). Two alternative approaches are possible when the parameters \(\theta\) are unknown. The ''estimative'' approach preserves the form of the function but replaces \(\theta\) with some estimate \({\hat \theta}\). The ''predictive'' approach replaces \(P(x| \Pi_ i,\theta)\) by \[ P^*(x| \Pi_ i,z_ i)=\int_{\theta}P(x| \Pi_ i,\theta)P(\theta | z_ i)d\theta, \] where \(P(\theta | z_ i)\) is a Bayesian posterior density function and \(z_ i\) are the sets of training data. When \(P(x| \Pi_ i,\theta)\) is p-dimensional multivariate normal, \(P^*(x| \Pi_ i,z_ i)\) is a p-dimensional Student-type density function, \(X\sim St_ p(n_ i,\bar z_ i,S_ i)\) where \(S_ i\) is the usual sample covariance matrix. If B is a \(q\times p\) \((q<p)\) matrix of rank q, then \(Y=BX\sim St_ q(n,B\bar z,BSB')\). A method for constructing the linear dimension-reduction matrix is derived, and the procedure is proposed to indicate the lowest dimension that preserves the original expected probability of correct classification for each given case. This method avoids the inversion of high-dimensional matrices and allows to reduce the necessary size of samples. A Monte Carlo simulation is performed with three multivariate normal populations of dimension six. The predictive discrimination method in conjunction with the proposed dimension-reduction method yields results superior to the usual linear discrimination procedure as the last assumes equal population covariance matrices.
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pattern recognition
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linear feature selection
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Bayesian posterior density
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training data
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multivariate normal
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p-dimensional Student-type density
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probability of correct classification
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Monte Carlo simulation
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predictive discrimination
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dimension-reduction method
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