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Linear discrimination for three-level multivariate data with a separable additive mean vector and a doubly exchangeable covariance structure

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  • Leiva, Ricardo
  • Roy, Anuradha
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    Abstract

    In this article, we study a new linear discriminant function for three-level m-variate observations under the assumption of multivariate normality. We assume that the m-variate observations have a doubly exchangeable covariance structure consisting of three unstructured covariance matrices for three multivariate levels and a separable additive structure on the mean vector. The new discriminant function is very efficient in discriminating individuals in a small sample scenario. An iterative algorithm is proposed to calculate the maximum likelihood estimates of the unknown population parameters as closed form solutions do not exist for these unknown parameters. The new discriminant function is applied to a real data set as well as to simulated data sets. We compare our findings with other linear discriminant functions for three-level multivariate data as well as with the traditional linear discriminant function.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0167947311003641
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    Bibliographic Info

    Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

    Volume (Year): 56 (2012)
    Issue (Month): 6 ()
    Pages: 1644-1661

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    Handle: RePEc:eee:csdana:v:56:y:2012:i:6:p:1644-1661

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    Web page: http://www.elsevier.com/locate/csda

    Related research

    Keywords: Additive mean structure; Doubly exchangeable covariance structure; Linear discriminant function; Maximum likelihood estimates;

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    1. Paranjpe, S. A. & Gore, A. P., 1994. "Selecting variables for discrimination when covariance matrices are unequal," Statistics & Probability Letters, Elsevier, vol. 21(5), pages 417-419, December.
    2. Leiva, Ricardo, 2007. "Linear discrimination with equicorrelated training vectors," Journal of Multivariate Analysis, Elsevier, vol. 98(2), pages 384-409, February.
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