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On the Interpretation of Individual Variables in Multiple Discriminant Analysis

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  • Karson, Marvin J.
  • Martell, Terrence F.

Abstract

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.

Suggested Citation

  • Karson, Marvin J. & Martell, Terrence F., 1980. "On the Interpretation of Individual Variables in Multiple Discriminant Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(1), pages 211-217, March.
    • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:01:p:211-217_00
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    1. Chung, Joseph & To, Minh Chau & Thrin, Minh Anh, 1982. "Une mesure composite du risque des prêts hypothécaires," L'Actualité Economique, Société Canadienne de Science Economique, vol. 58(4), pages 463-476, décembre.

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