Skewness and the linear discriminant function
Fisher’s linear discriminant function might be difficult to estimate, when data come from a semiparametric, finite mixture model. We propose an estimator based on the singular value decomposition of the third standardized cumulant. The estimator is consistent when sampling from a mixture of two symmetric, homoscedastic components with finite third moments and different weights. We also evaluate its performance and compare it with another estimator, which uses the eigenvectors of a kurtosis matrix.
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Volume (Year): 83 (2013)
Issue (Month): 1 ()
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- Kollo, Tõnu, 2008. "Multivariate skewness and kurtosis measures with an application in ICA," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2328-2338, November.
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