The kurtosis coeficient and the linear discriminant function

Francisco J. Prieto
Authors registered in the RePEc Author Service: Daniel Peña

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

Abstract: In this note we analyze the relationship between the direction obtained from the minimization of the kurtosis coefficient of the projections of a mixture of multivariate normal distributions and the linear discriminant function. We show that both directions are closely related, and in particular that given two vector random variables having symmetric distributions with unknown means and the same covariance matrix,the direction which minimizes the kurtosis coefficient of the projection is the linear discriminant function. This result provides a way to compute the discriminant function between two normal populations in the case in which the means and the common covariance matrix are unknown.

Keywords: Classification; kurtosis; coefficient (search for similar items in EconPapers)
Date: 1999-10
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Journal Article: The kurtosis coefficient and the linear discriminant function (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:6358

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