Shrunken Estimators in Discriminant and Canonical Variate Analysis

Norm A. Campbell

Journal of the Royal Statistical Society Series C, 1980, vol. 29, issue 1, 5-14

Abstract: Shrunken estimators in canonical variate analysis are shown to lead to improved stability of the resulting coefficients when the between‐groups sum of squares for a particular principal component defined by the within‐groups covariance or correlation matrix is small and the corresponding eigenvalue is also small.

Date: 1980
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