Bayesian Block-Diagonal Predictive Classifier for Gaussian Data

• The paper presents a method for constructing Bayesian predictive classifier in a high-dimensional setting. Given that classes are represented by Gaussian distributions with block-structured covariance matrix, a closed form expression for the posterior predictive distribution of the data is established. Due to factorization of this distribution, the resulting Bayesian predictive and marginal classifier provides an efficient solution to the high-dimensional problem by splitting it into smaller tractable problems. In a simulation study we show that the suggested classifier outperforms several alternative algorithms such as linear discriminant analysis based on block-wise inverse covariance estimators and the shrunken centroids regularized discriminant analysis.

Ämnesord

NATURVETENSKAP  -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)

NATURAL SCIENCES  -- Mathematics -- Probability Theory and Statistics (hsv//eng)

NATURVETENSKAP  -- Data- och informationsvetenskap (hsv//swe)

NATURAL SCIENCES  -- Computer and Information Sciences (hsv//eng)

NATURVETENSKAP  -- Matematik (hsv//swe)

NATURAL SCIENCES  -- Mathematics (hsv//eng)

Nyckelord

Covariance estimators

discriminant analysis

high-dimensional data

hyperparameters

Statistics

statistik

Publikations- och innehållstyp

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