IDEAS home Printed from https://ideas.repec.org/p/ete/kbiper/563648.html
   My bibliography  Save this paper

Cellwise robust regularized discriminant analysis

Author

Listed:
  • Stéphanie Aerts
  • Ines Wilms

Abstract

Quadratic and Linear Discriminant Analysis (QDA/LDA) are the most often applied classification rules under normality. In QDA, a separate covariance matrix is estimated for each group. If there are more variables than observations in the groups, the usual estimates are singular and cannot be used anymore. Assuming homoscedasticity, as in LDA, reduces the number of parameters to estimate. This rather strong assumption is however rarely verified in practice. Regularized discriminant techniques that are computable in high-dimension and cover the path between the two extremes QDA and LDA have been proposed in the literature. However, these procedures rely on sample covariance matrices. As such, they become inappropriate in presence of cellwise outliers, a type of outliers that is very likely to occur in high-dimensional datasets. In this paper, we propose cellwise robust counterparts of these regularized discriminant techniques by inserting cellwise robust covariance matrices. Our methodology results in a family of discriminant methods that (i) are robust against outlying cells, (ii) cover the gap between LDA and QDA and (iii) are computable in high-dimension. The good performance of the new methods is illustrated through simulated and real data examples. As a by-product, visual tools are provided for the detection of outliers.

Suggested Citation

  • Stéphanie Aerts & Ines Wilms, 2017. "Cellwise robust regularized discriminant analysis," Working Papers of Department of Decision Sciences and Information Management, Leuven 563648, KU Leuven, Faculty of Economics and Business (FEB), Department of Decision Sciences and Information Management, Leuven.
  • Handle: RePEc:ete:kbiper:563648
    as

    Download full text from publisher

    File URL: https://lirias.kuleuven.be/retrieve/422853
    File Function: Cellwise robust regularized discriminant analysis
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Cellwise robust precision matrix; Classification; Discriminant analysis; Penalized estimation;
    All these keywords.

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ete:kbiper:563648. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: library EBIB (email available below). General contact details of provider: https://feb.kuleuven.be/KBI .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.