Title: Cellwise robust regularized precision matrices for discriminant analysis
Authors: Ines Wilms - Maastricht University (Netherlands) [presenting]
Stephanie Aerts - University of Liege (Belgium)
Abstract: Quadratic and Linear Discriminant Analysis (QDA/LDA) are the most often applied classification rules under normality. In QDA, a separate covariance matrix is estimated for each group. If there are more variables than observations in the groups, the usual estimates are singular and cannot be used anymore. Assuming homoscedasticity, as in LDA, reduces the number of parameters to estimate. This rather strong assumption is however rarely verified in practice. Regularized discriminant techniques that are computable in high-dimension and cover the path between the two extremes QDA and LDA have been proposed in the literature. However, these procedures rely on sample covariance matrices. As such, they become inappropriate in presence of cellwise outliers, a type of outliers that is very likely to occur in high-dimensional datasets. We propose cellwise robust counterparts of these regularized discriminant techniques by inserting cellwise robust covariance matrices. Our methodology results in a family of discriminant methods that (i) are robust against outlying cells, (ii) provide, as a by-product, a way to detect outliers, (iii) cover the path between LDA and QDA, and (iv) are computable in high-dimensions.