What is the relationship between regression and linear discriminant analysis?

Is there a relationship between regression and linear discriminant analysis? What are their similarities and differences? Does it make any difference if there are two classes or more than two classes?

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I take it that the question is about LDA and linear (not logistic) regression.

There is a considerable and meaningful relation between linear regression and linear discriminant analysis. In case the DV consisting just of 2 groups the two analyses are actually identical. Despite that computations are different and the results - regression and discriminant coefficients - are not the same, they are exactly proportional to each other.

Now for the more-than-two-groups situation. First, let us state that LDA (its extraction, not classification stage) is equivalent (linearly related results) to canonical correlation analysis if you turn the grouping DV into a set of dummy variables (with one redundant of them droped out) and do canonical analysis with sets "IVs" and "dummies". Canonical variates on the side of "IVs" set that you obtain are what LDA calls "discriminant functions" or "discriminants".

So, then how canonical analysis is related to linear regression? Canonical analysis is in essence a MANOVA (in the sence "Multivariate Multiple linear regression" or "Multivariate general linear model") deepened into latent structure of relationships between the DVs and the IVs. These two variations are decomposed in their inter-relations into latent "canonical variates". Let us take the simplest example, Y vs X1 X2 X3. Maximization of correlation between the two sides is linear regression (if you predict Y by Xs) or - which is the same thing - is MANOVA (if you predict Xs by Y). The correlation is unidimensional (with magnitude R^2 = Pillai's trace) because the lesser set, Y, consists just of one variable. Now let's take these two sets: Y1 Y2 vs X1 x2 x3. The correlation being maximized here is 2-dimensional because the lesser set contains 2 variables. The first and stronger latent dimension of the correlation is called the 1st canonical correlation, and the remaining part, orthogonal to it, the 2nd canonical correlation. So, MANOVA (or linear regression) just asks what are partial roles (the coefficients) of variables in the whole 2-dimensional correlation of sets; while canonical analysis just goes below to ask what are partial roles of variables in the 1st correlational dimension, and in the 2nd.

Thus, canonical correlation analysis is multivariate linear regression deepened into latent structure of relationship between the DVs and IVs. Discriminant analysis is a particular case of canonical correlation analysis. Here is the answer about the relation of LDA to linear regression in a general case of more-than-two-groups.

Note that my answer does not at all see LDA as classification technique. I was discussing LDA only as extraction-of-latents technique. Classification is the second and stand-alone stage of LDA (I described it here). @Michael Chernick was focusing on it in his answers.

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Why do I need "canonical correlation analysis" and what does it do here? Thanks. –  zca0 Jul 2 '12 at 11:27
Uhm, don't unserstand you. Did you read the answer? Canonical analysis was necessary in order to clarify how LDA is related to linear regression; this relation appears quite complex in general case of more than 2 groups. –  ttnphns Jul 2 '12 at 11:49

Here is a reference to one of Efron's papers: http://www.jstor.org/discover/10.2307/2285453?uid=3739864&uid=2129&uid=2&uid=70&uid=4&uid=3739256&sid=47699111262887

Here is an abstract that mentions O'Neill's papers related to his Ph D dissertation:

Comparison of generative and discriminative classifiers is an ever-lasting topic. As an important contribution to this topic, based on their theoretical and empirical comparisons between the naïve Bayes classifier and linear logistic regression, Ng and Jordan (NIPS 841---848, 2001) claimed that there exist two distinct regimes of performance between the generative and discriminative classifiers with regard to the training-set size. In this paper, our empirical and simulation studies, as a complement of their work, however, suggest that the existence of the two distinct regimes may not be so reliable. In addition, for real world datasets, so far there is no theoretically correct, general criterion for choosing between the discriminative and the generative approaches to classification of an observation $x$ into a class $y$; the choice depends on the relative confidence we have in the correctness of the specification of either $p(y|x)$ or $p(x, y)$ for the data. This can be to some extent a demonstration of why Efron (J Am Stat Assoc 70(352):892---898, 1975) and O'Neill (J Am Stat Assoc 75(369):154---160, 1980) prefer normal-based linear discriminant analysis (LDA) when no model mis-specification occurs but other empirical studies may prefer linear logistic regression instead. Furthermore, we suggest that pairing of either LDA assuming a common diagonal covariance matrix (LDA) or the naïve Bayes classifier and linear logistic regression may not be perfect, and hence it may not be reliable for any claim that was derived from the comparison between LDA or the naïve Bayes classifier and linear logistic regression to be generalised to all generative and discriminative classifiers.

There are a lot of other references on this that you can find online.

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+1 for the many well placed references on the (now clarified by the OP) subject of logistic regression vs. LDA. –  Macro Jul 1 '12 at 6:08
Here's another comparison of generative and discriminative classifiers by Yaroslav Bulatov on Quora: quora.com/… –  Pardis Jul 1 '12 at 13:05