AbstractThe linear discriminant analysis (LDA) is one of popular means for linear feature extraction. It usually performs well when the global data structure is consistent with the local data structure. Other frequently-used approaches of feature extraction usually require linear, independence, or large sample condition. However, in real world applications, these assumptions are not always satisfied or cannot be tested. In this paper, we introduce an adaptive method, local kernel nonparametric discriminant analysis (LKNDA), which integrates conventional discriminant analysis with nonparametric statistics. LKNDA is adept in identifying both complex nonlinear structures and the ad hoc rule. Six simulation cases demonstrate that LKNDA have both parametric and nonparametric algorithm advantages and higher classification accuracy. Quartic unilateral kernel function may provide better robustness of prediction than other functions. LKNDA gives an alternative solution for discriminant cases of complex nonlinear feature extraction or unknown feature extraction. At last, the application of LKNDA in the complex feature extraction of financial market activities is proposed.
Local kernel nonparametric discriminant analysis for adaptive extraction of complex structures
