Performance of linear discriminant analysis in stochastic settings

@article{Zollanvari2013PerformanceOL,
  title={Performance of linear discriminant analysis in stochastic settings},
  author={Amin Zollanvari and Jianping Hua and Edward R. Dougherty},
  journal={2013 IEEE International Conference on Acoustics, Speech and Signal Processing},
  year={2013},
  pages={3437-3441}
}
This paper provides, for the first time, exact analytical expressions for the first moment of the true error of linear discriminant analysis (LDA) when the data are univariate and taken from two stochastic Gaussian processes. We assume a general setting in which the sample data from each class do not need to be identically distributed or independent within or between classes. As an application of this framework, we characterize the performance of LDA in situations that the data are generated… CONTINUE READING