A criterion for variable selection in multiple discriminant analysis
In this paper the problem of selection of variables in linear discriminant analysis is considered. A criterion is proposed for determining the best subset of variables, the aim of which is to interpret the separation among the population in terms of a few discriminant variables. This problem is solved by searching among a set of models with a criterion based on \textit{H. Akaike's} concept of information [IEEE Trans. Autom. Control AC-19, 716-723 (1974; Zbl 0314.62039)]. The selected model yields the best predictions for future observations with the same structure as the original observations. In a second part the paper tackles the more general problem of finding the best subset of variables in a multivariate linear model. Asymptotic distributions of the criterion for variable selection are obtained. The asymptotic distribution in the case when the variables are ordered a priori are shown to be reducible to a simple form.
- Selection of variables in two-group discriminant analysis by error rate and Akaike's information criteria
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- Variable Selection in Heteroscedastic Discriminant Analysis
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- Sufficiency of variables in discrete discriminant analysis
- Consistency of high-dimensional AIC-type and C_p-type criteria in multivariate linear regression
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- A Variable Selection Technique in Discriminant Analysis with Application in Marketing Data
- Variable selection for discrimination among several populations
- Exact and approximate algorithms for variable selection in linear discriminant analysis
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- Efficient variable screening for multivariate analysis
- Direct variable selection for discrimination among several groups
- Contributions to multivariate analysis by Professor Yasunori Fujikoshi
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