On BIC's Selection Consistency for Discriminant Analysis

15 Pages Posted: 24 Nov 2008 Last revised: 13 Oct 2009

See all articles by Qiong Zhang

Qiong Zhang

affiliation not provided to SSRN

Hansheng Wang

Peking University - Guanghua School of Management

Date Written: October 21, 2008

Abstract

Linear and/or quadratic discriminant analysis (based on finite Gaussian mixture) is one of the most useful classification methods, for which the problem of variable selection is poorly understood. To fill this important theoretical gap, a novel BIC-type selection criterion in conjunction with a backward elimination procedure is proposed. We show theoretically that the new method is able to identify the true Gaussian structure consistently, even with a heteroscedastic covariance structure. Numerical studies are presented to demonstrate the new method's usefulness.

Keywords: BIC, Discriminant Analysis, Gaussian Mixture

JEL Classification: C52, C14

Suggested Citation

Zhang, Qiong and Wang, Hansheng, On BIC's Selection Consistency for Discriminant Analysis (October 21, 2008). Available at SSRN: https://ssrn.com/abstract=1305764 or http://dx.doi.org/10.2139/ssrn.1305764

Qiong Zhang

affiliation not provided to SSRN ( email )

Hansheng Wang (Contact Author)

Peking University - Guanghua School of Management ( email )

Peking University
Beijing, Beijing 100871
China

HOME PAGE: http://hansheng.gsm.pku.edu.cn

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