Robust Linear Discriminant Analysis and the Projection Pursuit Approach

This paper starts with a short review of previous work on robust discriminant analysis with emphasis on the projection pursuit approach. Some theoretical aspects are briefly discussed. The core of the paper deals with practical issues related to the projection pursuit approach which generalizes Fisher’s linear discriminant analysis. The choices of univariate estimators, starting points and maximization procedure are discussed and exemplified. The results of a simulation study are presented.

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