Spectrally-Corrected and Regularized QDA Classifier for Spiked Covariance Model
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Abstract (arXiv)
Quadratic discriminant analysis (QDA) is a widely used method for classification problems, particularly preferable over Linear Discriminant Analysis (LDA) for heterogeneous data. However, QDA loses its effectiveness in high-dimensional settings, where the data dimension and sample size tend to infinity. To address this issue, we propose a novel QDA method utilizing spectral correction and regularization techniques, termed SR-QDA. The regularization parameters in our method are selected by maximizing the Fisher-discriminant ratio. We compare SR-QDA with QDA, regularized quadratic discriminant analysis (R-QDA), and several other competitors. The results indicate that SR-QDA performs exceptionally well, especially in moderate and high-dimensional situations. Empirical experiments across diverse datasets further support this conclusion.
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References · 10
- 2020Estimation of the number of spiked eigenvalues in a covariance matrix by bulk eigenvalue matching analysiscited by 15
- 2019Estimating Number of Factors by Adjusted Eigenvalues Thresholdingcited by 14
- 2019A Convex Optimization Approach to High-Dimensional Sparse Quadratic Discriminant Analysiscited by 10
- 2015A Direct Approach for Sparse Quadratic Discriminant Analysiscited by 9
- 2015Innovated interaction screening for high-dimensional nonlinear classificationcited by 4
- 2017Sparse quadratic classification rules via linear dimension reductioncited by 3
- 2021Quadratic Discriminant Analysis by Projectioncited by 3
- 2016High-Dimensional Regularized Discriminant Analysiscited by 2
- 2020High-Dimensional Quadratic Discriminant Analysis under Spiked Covariance Modelcited by 2
- 2022Spectrally-Corrected and Regularized Linear Discriminant Analysis for Spiked Covariance Modelcited by 1
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