ON A CRITERION FOR OMITTING VARIABLES IN DISCRIMINANT-ANALYSIS

Urbakh (1971, Biometrics 27, 531-534) proposed the estimated change in generalized distance as a criterion for the omission of a single variable or a subset of variables in linear discriminant analysis. The criterion is amended by introducing the correct expression for an unbiased estimate of the population generalized distance. The amended criterion is expressed in terms of an F-statistic proposed by Rao (1948, Biometrika 35, 58-79; 1973, Linear Statistical Inference and Its Applications, 2nd edition, New York: Wiley).