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Reduction of Dimensionality for Classification

Cuevas-Covarrubias, Carlos; Riccomagno, Eva

We present an algorithm for the reduction of dimensionality useful in statistical classification problems where observations from two multivariate normal distributions are discriminated. It is based on Principal Components Analysis and consists of a simultaneous diagonalization of two covariance matrices. The criterion for reduction of dimensionality is given by the contribution of each principal component to the area under the ROC curve of a discriminant function. Linear and quadratic scores are considered, the focus being on the quadratic case.

Zugehörige Institution(en) am KIT Institut für Informationswirtschaft und Marketing (IISM)
Publikationstyp Zeitschriftenaufsatz
Jahr 2017
Sprache Englisch
Identifikator DOI: 10.5445/KSP/1000058749/25
ISSN: 2363-9881
URN: urn:nbn:de:swb:90-705603
KITopen ID: 1000070560
Erschienen in Archives of Data Science, Series A (Online First)
Band 2
Heft 1
Seiten 15 S. online
Lizenz CC BY-SA 4.0: Creative Commons Namensnennung – Weitergabe unter gleichen Bedingungen 4.0 International
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