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Consistency of test-based method for selection of variables in high-dimensional two-group discriminant analysis
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Description
This paper is concerned with selection of variables in two-group discriminant analysis with the same covariance matrix. We propose a test-based method (TM) drawing on the significance of each variable. Sufficient conditions for the test-based method to be consistent are provided when the dimension and the sample size are large. For the case that the dimension is larger than the sample size, a ridge-type method is proposed. Our results and tendencies therein are explored numerically through a Monte Carlo simulation. It is pointed that our selection method can be applied for high-dimensional data.
Journal
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- Japanese Journal of Statistics and Data Science
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Japanese Journal of Statistics and Data Science 2 (1), 155-171, 2019-02-08
Springer Science and Business Media LLC
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Details 詳細情報について
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- CRID
- 1362823123420392192
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- NII Article ID
- 210000178548
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- ISSN
- 25208764
- 25208756
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- Data Source
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- Crossref
- CiNii Articles
- OpenAIRE