S675 class notes

Revision as of 14:49, 26 October 2009

10/26/09

remarks on previous

1. Fisher's best linear discriminator constructs a linear combination of the variables that is usually good for discrimination. This linear comination is not necessarily the linear combination found by PCA
2. The rule htat assigns an unlabelled u to the class label i for which (u-xbarsubi)^tS^-1(u - xbarsubi) is minimal bas an obvious extension from the case of Z classes (i in {1,2}) to the case of g classes (i in {1,2,...,g}). The general rule is called linear discirminant analysis (LDA).
3. LDA relies on a pooled sample covariance matrix S.

• • Let Sigma = ES. where E is the expectation.
  • It may or maynot be the case that eash class has population covariance matrix Sigma.
  • What if the classes have different covariance matrices, Sigmasub1, ... , Sigmasubg?
  • One possibility: estimate reach Sigmasubi by Ssubi, then assign to u the label i for which (u-xbarsubi)^tSsubi^-1(u-xbarsubi) is minimal.
  • This rule is called quadratic discriminant analysis (QDA)

Discriminant Coordinates

Again (for motivation) assume that Psubi=Normal(musubi,Sigma). (common covariance, different means)

Let xbarsubi and Ssubi denote the sample mean vector and sample covariance matrix for sample i in {1,2,...,g}..

Let xbar = Sum of i=1 to g (nsubi/n)xbarsubi, <--sample grand mean vector

W = (n-g)^-1 Sum from i=1 to g (nsubi-1)Ssubi <---pooled withingroups sample covariance matrix

B = (g-1)^-1 Sum from i=1 to g nsubi(xbarsubi-xbar)(xbarsubi-xbar)^t <---between-groups sample covariance matrix

Given a in Real^p, we perform a univariate analysis of variance to test the nullhypothesis Hsub0:a^tmusub1=a^tmusub2=...=a^tmusubg.

In ANOVA, generalization of T statistic is F statistic. In T, statistic comparise difference between observed and predicted mean with variance withint he sample

F(a) = (ration between the variation between gorupand variation within groups) (a^tBa)/(a^tWa) (between group variance of the linear combination)/(within group variance of the linear combination)