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Financial Machine Learning / Classification and Generalized Linear Models

Generative Classifiers: Gaussian Discriminant Analysis and Naive Bayes

Every classifier so far — logistic regression, the perceptron, softmax — has been discriminative: it models p(y∣x)p(y\mid x) directly, drawing a decision boundary and ignoring how xx itself is distributed within each class. This note introduces the opposite philosophy: generative classifiers model p(x∣y)p(x\mid y) and p(y)p(y) separately, then invoke Bayes' rule to get p(y∣x)p(y\mid x). Understanding when to reach for which philosophy — a decision that recurs for naive-Bayes-style credit models and text-based sentiment classifiers alike — is the payoff of this note.

In this lesson

  1. Learning objectives
  2. Gaussian Discriminant Analysis
  3. Naive Bayes
  4. Worked example

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