Consistency of test-based method for selection of variables in high-dimensional two-group discriminant analysis

摘要

This paper is concerned with selection of variables in two-group discriminant analysis with the same covariance matrix. We propose a test-based method (TM) drawing on the significance of each variable. Sufficient conditions for the test-based method to be consistent are provided when the dimension and the sample size are large. For the case that the dimension is larger than the sample size, a ridge-type method is proposed. Our results and tendencies therein are explored numerically through a Monte Carlo simulation. It is pointed that our selection method can be applied for high-dimensional data.