Abstract
Many high dimensional classification techniques have been developed recently. However, many works focus on only the binary classification problem and can not be used directly for multi-class data. Most available classification tools for the high dimensional, multi-class data are either based on diagonal covariance structure or computationally complicated. In this paper, following the idea of reduced-rank linear discriminant analysis (LDA), we introduce a new dimension reduction tool with a flavor of supervised principal component analysis (PCA). The proposed method is computationally efficient and can incorporate the correlation structure among the features. Besides the theoretical insights, we show that our method is a competitive classification tool by simulated and real data examples.
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