Discrimination with autocorrelated observations

摘要

The effect of serial correlation on the multivariate sample linear discriminant function when the parameters are estimated under the assumption that the observations are independent has been studied by Lawoko and McLachlan. This paper investigates the performance of the univariate sample linear discriminant function when the parameters are estimated under a model which takes the correlation into consideration. This is contrasted with the performance of the sample discriminant function when the parameters are estimated under the assumption that the observations are independent. The intraclass correlation model assumed here is the univariate autoregressive process of order p.