A1 Journal article (refereed)
Large-sample properties of unsupervised estimation of the linear discriminant using projection pursuit (2021)

Radojičić, U., Nordhausen, K., & Virta, J. (2021). Large-sample properties of unsupervised estimation of the linear discriminant using projection pursuit. Electronic Journal of Statistics, 15(2), 6677-6739. https://doi.org/10.1214/21-EJS1956

JYU authors or editors

Publication details

All authors or editors: Radojičić, Una; Nordhausen, Klaus; Virta, Joni

Journal or series: Electronic Journal of Statistics

eISSN: 1935-7524

Publication year: 2021

Publication date: 01/01/2021

Volume: 15

Issue number: 2

Pages range: 6677-6739

Publisher: Institute of Mathematical Statistics

Publication country: United States

Publication language: English

DOI: https://doi.org/10.1214/21-EJS1956

Publication open access: Openly available

Publication channel open access: Open Access channel

Publication is parallel published (JYX): https://jyx.jyu.fi/handle/123456789/79240

Web address of parallel published publication (pre-print): https://arxiv.org/abs/2103.04678

Abstract

We study the estimation of the linear discriminant with projection pursuit, a method that is unsupervised in the sense that it does not use the class labels in the estimation. Our viewpoint is asymptotic and, as our main contribution, we derive central limit theorems for estimators based on three different projection indices, skewness, kurtosis, and their convex combination. The results show that in each case the limiting covariance matrix is proportional to that of linear discriminant analysis (LDA), a supervised estimator of the discriminant. An extensive comparative study between the asymptotic variances reveals that projection pursuit gets arbitrarily close in efficiency to LDA when the distance between the groups is large enough and their proportions are reasonably balanced. Additionally, we show that consistent unsupervised estimation of the linear discriminant can be achieved also in high-dimensional regimes where the dimension grows at a suitable rate to the sample size, for example, pn=o(n1∕3) is sufficient under skewness-based projection pursuit. We conclude with a real data example and a simulation study investigating the validity of the obtained asymptotic formulas for finite samples.

Keywords: mathematics; estimating (statistical methods)

Free keywords: clustering; kurtosis; linear discriminant analysis; projection pursuit; skewness

Contributing organizations

Ministry reporting: Yes

Reporting Year: 2021

JUFO rating: 1