Elliptical Discriminant Analysis: A Novel Machine Learning Classifier for Fat-tailed Datasets


Monday, November 18, 2024


2:00 pm


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. We introduce a new classifier, termed Elliptical Discriminant, that generalise 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.

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