Robust Generalised Quadratic Discriminant Analysis

• URL: http://arxiv.org/abs/2004.06568v1
• Date: Sat, 11 Apr 2020 18:21:06 GMT
• Title: Robust Generalised Quadratic Discriminant Analysis
• Authors: Abhik Ghosh, Rita SahaRay, Sayan Chakrabarty, Sayan Bhadra
• Abstract summary: The classification rule in GQDA is based on the sample mean vector and the sample dispersion matrix of a training sample, which are extremely non-robust under data contamination. The present paper investigates the performance of the GQDA classifier when the classical estimators of the mean vector and the dispersion matrix used therein are replaced by various robust counterparts.
• Score: 6.308539010172309
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Quadratic discriminant analysis (QDA) is a widely used statistical tool to classify observations from different multivariate Normal populations. The generalized quadratic discriminant analysis (GQDA) classification rule/classifier, which generalizes the QDA and the minimum Mahalanobis distance (MMD) classifiers to discriminate between populations with underlying elliptically symmetric distributions competes quite favorably with the QDA classifier when it is optimal and performs much better when QDA fails under non-Normal underlying distributions, e.g. Cauchy distribution. However, the classification rule in GQDA is based on the sample mean vector and the sample dispersion matrix of a training sample, which are extremely non-robust under data contamination. In real world, since it is quite common to face data highly vulnerable to outliers, the lack of robustness of the classical estimators of the mean vector and the dispersion matrix reduces the efficiency of the GQDA classifier significantly, increasing the misclassification errors. The present paper investigates the performance of the GQDA classifier when the classical estimators of the mean vector and the dispersion matrix used therein are replaced by various robust counterparts. Applications to various real data sets as well as simulation studies reveal far better performance of the proposed robust versions of the GQDA classifier. A Comparative study has been made to advocate the appropriate choice of the robust estimators to be used in a specific situation of the degree of contamination of the data sets.

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