On the consistency and robustness properties of linear discriminant analysis

Santiago Velilla Cerdan and Adolfo Hernández

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Strong consistency of linear discriminant analysis is established under wide assumptions on the class conditional densities. Robustness to the presence of a mild degree of class dispersion heterogeneity is also analyzed. Results obtained may help to explain analytically the frequent good behavior in applications of linear discrimination techniques.

Date: 2002-08
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws023506

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