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Accuracy of regularized D-rule for binary classification
Authors:Won Son  Johan Lim  Xinlei Wang
Institution:1. Department of Statistics, Seoul National University, Seoul, Republic of Korea;2. Department of Statistical Science, Southern Methodist University, Dallas, TX, USA
Abstract:We consider a regularized D-classification rule for high dimensional binary classification, which adapts the linear shrinkage estimator of a covariance matrix as an alternative to the sample covariance matrix in the D-classification rule (D-rule in short). We find an asymptotic expression for misclassification rate of the regularized D-rule, when the sample size n and the dimension p both increase and their ratio pn approaches a positive constant γ. In addition, we compare its misclassification rate to the standard D-rule under various settings via simulation.
Keywords:62H30  62H99  Classification  High dimensional data  Linear shrinkage covariance matrix estimator  Random matrix theory  Regularized D-rule
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