On estimation of discriminant coefficients

Abstract

Estimation of discriminant coefficients arises in linear discriminant analysis when the Fisher's linear discriminant function is viewed as the posterior log-odds. Accordingly, we treat the problem of estimating the discriminant coefficients under the quadratic loss. We obtain a class of improved estimators dominating the 'unbiased' estimator, considerably generalizing earlier work of Haff (1986).Wishart identity precision matrix unbiased estimator