Discriminant analysis in small and large dimensions

DOI10.1090/tpms/1096zbMath1446.62136arXiv1705.02826OpenAlexW2976974208MaRDI QIDQ5117960

Nestor Parolya, Unnamed Author, Taras Bodnar, Stepan Mazur

Publication date: 26 August 2020

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.02826

zbMATH Keywords

discriminant functionrandom matrix theorystochastic representationlarge-dimensional asymptoticsclassification analysis

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Exact distribution theory in statistics (62E15) Random matrices (probabilistic aspects) (60B20)

Related Items (6)

High-dimensional asymptotic results for EPMCs of W- and Z- rules ⋮ Distribution of the product of a Wishart matrix and a normal vector ⋮ Kick-one-out-based variable selection method for Euclidean distance-based classifier in high-dimensional settings ⋮ Bayesian estimation for misclassification rate in linear discriminant analysis ⋮ Higher order moments of the estimated tangency portfolio weights ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Direct shrinkage estimation of large dimensional precision matrix
• High dimensional covariance matrix estimation using a factor model
• Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions
• Noisy matrix decomposition via convex relaxation: optimal rates in high dimensions
• On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
• Sparse linear discriminant analysis by thresholding for high dimensional data
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Exact and asymptotic tests on a factor model in low and large dimensions with applications
• A test for the weights of the global minimum variance portfolio in an elliptical model
• Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
• Spectral analysis of large dimensional random matrices
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Bayesian estimation of the global minimum variance portfolio
• Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations
• On the distribution of the largest eigenvalue in principal components analysis
• Testing for independence of large dimensional vectors
• An exact test about the covariance matrix
• Elliptically Contoured Models in Statistics and Portfolio Theory
• Methods of Multivariate Analysis
• On the Product of Inverse Wishart and Normal Distributions with Applications to Discriminant Analysis and Portfolio Theory
• A Constrainedℓ₁Minimization Approach to Sparse Precision Matrix Estimation
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• A Direct Estimation Approach to Sparse Linear Discriminant Analysis
• Asymptotic aproximations for EPMC’s of the linear and the quadratic discriminant functions when the sample sizes and the dimension are large
• BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO
• Computational Statistics
• Bayesian estimation of the efficient frontier
• Tests for High-Dimensional Covariance Matrices
• Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix‐variate location mixture of normal distributions
• Comparison of Discrimination Methods for High Dimensional Data
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements

This page was built for publication: Discriminant analysis in small and large dimensions