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Asymptotically Bias-Corrected Regularized Linear Discriminant Analysis for Cost-Sensitive Binary Classification
DOI:10.1109/LSP.2019.2918485.png)
摘要
En 中文
In this letter, the theory of random matrices of increasing dimension is used to construct a form of regularized linear discriminant analysis (RLDA) that asymptotically yields the lowest overall risk with respect to the bias of the discriminant in cost-sensitive classification of two multivariate Gaussian distributions. Numerical experiments using both synthetic and real data show that even in finite-sample settings, the proposed classifier can uniformly outperform RLDA in terms of achieving a lower risk as a function of regularization parameter and misclassification costs.
Keyword:
Regularized linear discriminant
bias correction
random matrix theory
cost-sensitive classification
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9.6
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1.1W
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1.7W
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