Variable selection in discriminant analysis for mixed continuous-binary variables and several groups

We propose a method for variable selection in discriminant analysis with mixed continuous and binary variables. This method is based on a criterion that permits to reduce the variable selection problem to a problem of estimating suitable permutation and dimensionality. Then, estimators for these parameters are proposed and the resulting method for selecting variables is shown to be consistent. A simulation study that permits to study several properties of the proposed approach and to compare it with an existing method is given, and an example on a real data set is provided.