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Speakers:
Elliptical Discriminant Analysis: A Novel Machine Learning Classifier for Fat-tailed Datasets
Date:
Monday, November 18, 2024
Time:
2:00 pm
Track:
Summary:
In many real-world scenarios, like quantitative finance, datasets exhibit a probability distribution with significant skewness. Neglecting fat-tails can lead to increased estimation errors and potential business losses. Niranjana introduces a new classifier, termed Elliptical Discriminant, that generalises Quadratic Discriminant Analysis (QDA) to handle fat-tailed data. This is demonstrated using a multivariate dataset with fat-tails and a comparative study with other well-known classifiers.