Generalized consistent error estimator of linear discriminant analysis

Amin Zollanvari, Edward R. Dougherty

Research output: Contribution to journalArticle

18 Citations (Scopus)

Abstract

A classifier is epistemologically vacuous without an accurate estimate of its true error rate. In situations where the number of sample points is of the same order of magnitude as the dimension of observations, serious issues arise with respect to the performance of error estimators. In this paper, we place the problem of synthesizing an error rate estimator of a common linear classifier in an asymptotic setting in which the number of sample points is kept comparable in magnitude to the dimension of observations (double asymptotic). We construct a generalized consistent estimator of the true error rate for linear discriminant analysis in the multivariate Gaussian model under the assumption of a common covariance matrix. In other words, the estimator converges to true error rate in the double asymptotic sense. We employ simulations using both synthetic and real data to compare the performance of the new estimator to the classical consistent estimator of the true error (plug-in estimator) as well as other well-known estimators. We observe that the constructed estimator can outperform other estimators of the true error in many situations in terms of bias and root-mean-square (RMS) error.

Original languageEnglish
Article number7078850
Pages (from-to)2804-2814
Number of pages11
JournalIEEE Transactions on Signal Processing
Volume63
Issue number11
DOIs
Publication statusPublished - Jun 1 2015

Keywords

  • Double asymptotics
  • error estimation
  • generalized consistent estimation
  • linear discriminant analysis
  • true error

ASJC Scopus subject areas

  • Signal Processing
  • Electrical and Electronic Engineering

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