Fast rate of convergence in high-dimensional linear discriminant analysis

DOI10.1080/10485252.2010.487531MaRDI QIDQ3021183zbMATH OpenOpenAlexFDO

Authors

Publication date 22 July 2011

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0909.2191

zbMATH Keywords

classificationdimension reductionlinear discriminant analysishigh dimensionGaussian datathresholding estimator

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Estimation in multivariate analysis (62H12)

Abstract: This paper gives a theoretical analysis of high dimensional linear discrimination of Gaussian data. We study the excess risk of linear discriminant rules. We emphasis on the poor performances of standard procedures in the case when dimension p is larger than sample size n. The corresponding theoretical results are non asymptotic lower bounds. On the other hand, we propose two discrimination procedures based on dimensionality reduction and provide associated rates of convergence which can be O(log(p)/n) under sparsity assumptions. Finally all our results rely on a theorem that provides simple sharp relations between the excess risk and an estimation error associated to the geometric parameters defining the used discrimination rule.

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Cited in

(4)

• Dynamic linear discriminant analysis in high dimensional space
• Consistency and convergence rate for nearest subspace classifier
• A theoretical contribution to the fast implementation of null linear discriminant analysis with random matrix multiplication
• On general matrix exponential discriminant analysis methods for high dimensionality reduction

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