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On the Interpretation of Individual Variables in Multiple Discriminant Analysis

Published online by Cambridge University Press:  06 April 2009

Marvin J. Karson  and
Terrence F. Martell
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Extract

A number of articles have recently appeared in the literature dealing with the application of multiple discriminant analysis (MDA) to classification problems in the area of finance [2, 3, 7, 8, 13, 15]. The problem of assessing the importance of individual variables was an issue in these papers. The objective of this paper is to develop a ranking procedure for assessing the relative importance of the individual variables when it cannot be assumed that the group covariance matrices are equal. It is assumed that the analysis is for two groups. The ranking procedure we suggest relies upon the conditional deletion procedure based on a statistic used for solving the multivariate Behrens–Fisher problem.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 1 , March 1980 , pp. 211 - 217
Copyright
Copyright © School of Business Administration, University of Washington 1980

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References

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