Study Note: Linear Discriminant Analysis, ROC & AUC, Confusion Matrix
LDA V.S. Logistic Regression: When the classes are well-separated, the parameter estimates for the logistic regression model are surprisingly unstable. Linear discriminant analysis does not suffer from this problem. If n is small and the distribution of the predictors X is approximately normal in each of the classes, the linear discriminant model is again more stable than the logistic regression model. Linear discriminant analysis is popular when we have more than two response classes. ...