The Use of Shrinkage Estimators in Linear Discriminant Analysis

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Abstract
Probably the most common single discriminant algorithm in use today is the linear algorithm. Unfortunately, this algorithm has been shown to frequently behave poorly in high dimensions relative to other algorithms, even on suitable Gaussian data. This is because the algorithm uses sample estimates of the means and covariance matrix which are of poor quality in high dimensions. It seems reasonable that if these unbiased estimates were replaced by estimates which are more stable in high dimensions, then the resultant modified linear algorithm should be an improvement. This paper studies using a shrinkage estimate for the covariance matrix in the linear algorithm. We chose the linear algorithm, not because we particularly advocate its use, but because its simple structure allows one to more easily ascertain the effects of the use of shrinkage estimates. A simulation study assuming two underlying Gaussian populations with common covariance matrix found the shrinkage algorithm to significantly outperform the standard linear algorithm in most cases. Several different means, covariance matrices, and shrinkage rules were studied. A nonparametric algorithm, which previously had been shown to usually outperform the linear algorithm in high dimensions, was included in the simulation study for comparison.