A direct approach to sparse discriminant analysis in ultra-high dimensions

作者：Mai, Qing^*; Zou, Hui; Yuan, Ming

来源：Biometrika, 2012, 99(1): 29-42.

DOI：10.1093/biomet/asr066

• Discriminant analysis
• Features annealed independence rule
• Lasso
• Nearest shrunken centroids classifier
• Nonpolynomial-dimension asymptotics

Sparse discriminant methods based on independence rules, such as the nearest shrunken centroids classifier (Tibshirani et al., 2002) and features annealed independence rules (Fan & Fan, 2008), have been proposed as computationally attractive tools for feature selection and classification with high-dimensional data. A fundamental drawback of these rules is that they ignore correlations among features and thus could produce misleading feature selection and inferior classification. We propose a new procedure for sparse discriminant analysis, motivated by the least squares formulation of linear discriminant analysis. To demonstrate our proposal, we study the numerical and theoretical properties of discriminant analysis constructed via lasso penalized least squares. Our theory shows that the method proposed can consistently identify the subset of discriminative features contributing to the Bayes rule and at the same time consistently estimate the Bayes classification direction, even when the dimension can grow faster than any polynomial order of the sample size. The theory allows for general dependence among features. Simulated and real data examples show that lassoed discriminant analysis compares favourably with other popular sparse discriminant proposals.

• 出版日期2012-3