Simultaneous Procedures for Variable Selection in Multiple Discriminant Analysis

Abstract

The purpose of the procedures proposed in this paper is to provide information about the relative importance of variable subsets in the analysis of multivariate data. In multiple discriminant analysis the procedures isolate subsets of variables which provide essentially as much separation among the groups in each subset of groups as the original set of variables. Each procedure is a simultaneous test procedure in that the type I probability error rate for the family of hypotheses tested cannot exceed a specified value.