EPMC estimation in discriminant analysis when the dimension and sample sizes are large

In this paper we obtain a higher order asymptotic unbiased estimator for the expected probability of misclassification (EPMC) of the linear discriminant function when both the dimension and the sample size are large. Moreover, we evaluate the mean squared error of our estimator. We also present a numerical comparison between the performance of our estimator and that of the other estimators based on Okamoto (1963, 1968) and Fujikoshi and Seo (1998). It is shown that the bias and the mean squared error of our estimator are less than those of the other estimators.