Multiclass sparse discriminant analysis
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Publication:4626680
DOI10.5705/SS.202016.0117zbMATH Open1412.62081arXiv1504.05845OpenAlexW2964069910MaRDI QIDQ4626680FDOQ4626680
Authors: Qing Mai, Yi Yang, Hui Zou 
Publication date: 28 February 2019
Published in: STATISTICA SINICA (Search for Journal in Brave)
Abstract: In recent years many sparse linear discriminant analysis methods have been proposed for high-dimensional classification and variable selection. However, most of these proposals focus on binary classification and they are not directly applicable to multiclass classification problems. There are two sparse discriminant analysis methods that can handle multiclass classification problems, but their theoretical justifications remain unknown. In this paper, we propose a new multiclass sparse discriminant analysis method that estimates all discriminant directions simultaneously. We show that when applied to the binary case our proposal yields a classification direction that is equivalent to those by two successful binary sparse LDA methods in the literature. An efficient algorithm is developed for computing our method with high-dimensional data. Variable selection consistency and rates of convergence are established under the ultrahigh dimensionality setting. We further demonstrate the superior performance of our proposal over the existing methods on simulated and real data.
Full work available at URL: https://arxiv.org/abs/1504.05845
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variable selectionhigh-dimensional datadiscriminant analysisrates of convergencemulticlass classification
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical ranking and selection procedures (62F07)
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