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Biometrika 2006 93(4):1018-1024; doi:10.1093/biomet/93.4.1018
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© 2006 Biometrika Trust

Miscellanea

Discriminant analysis with common principal components

Mu Zhu

Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, ON N2L 3G1, Canada m3zhu{at}uwaterloo.ca


  Abstract

Zhu & Hastie (2003) presented a general criterion for finding discriminant directions. To optimise their criterion, iterative methods are needed unless each class has a Gaussian distribution with a common covariance matrix. In this short paper, we present a slightly more general case where iterative methods can also be avoided.

Key Words: Lagrange multiplier; Likelihood ratio; Linear discriminant analysis; Proportional covariance model; Quadratic discriminant analysis; Spectral decomposition; Swiss banknotes data.

Received October 2005. Revised January 2006.


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