A Cautionary Note on Selection of Variables in Discriminant Analysis

Gordon D. Murray

Journal of the Royal Statistical Society Series C, 1977, vol. 26, issue 3, 246-250

Abstract: When searching for a good subset of variables for use in discriminant analysis, one finds that the apparent error rate does not decrease monotonically with increasing size of subset. This paradox is resolved in terms of bias associated with searching through large numbers of subsets. The explanation throws some doubt onto many established techniques of variable selection.

Date: 1977
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