Classification of high-dimensional data with spiked covariance matrix structure
arXiv:2110.01950v3 Announce Type: replace Abstract: We study the classification problem for high-dimensional data with $n$ observations on $p$ features where the $p times p$ covariance matrix $Sigma$ exhibits a spiked eigenvalue structure and the vector $zeta$, given by the difference between the {em whitened} mean vectors, is sparse. We analyze an adaptive classifier (adaptive with respect to the sparsity $s$) that first performs dimension reduction on the feature vectors prior to classification in the dimensionally reduced space, i.e., […]