Semiparametric Sparse Discriminant Analysis

In recent years, a considerable amount of work has been devoted to generalizing linear discriminant analysis to overcome its incompetence for high-dimensional classification (Witten & Tibshirani 2011, Cai & Liu 2011, Mai et al. 2012, Fan et al. 2012). In this paper, we develop high-dimensional semiparametric sparse discriminant analysis (HD-SeSDA) that generalizes the normal-theory discriminant analysis in two ways: it relaxes the Gaussian assumptions and can handle non-polynomial (NP) dimension classification problems. If the underlying Bayes rule is sparse, HD-SeSDA can estimate the Bayes rule and select the true features simultaneously with overwhelming probability, as long as the logarithm of dimension grows slower than the cube root of sample size. Simulated and real examples are used to demonstrate the finite sample performance of HD-SeSDA. At the core of the theory is a new exponential concentration bound for semiparametric Gaussian copulas, which is of independent interest.