This page shows an example of a discriminant analysis in Stata with footnotes
explaining the output.  The data used in this example are from a data file,
discrim.dta, with 244 observations on four variables. The variables include
three continuous, numeric variables (outdoor, social and
conservative) and one categorical variable (job type) with three
levels: 1) customer service, 2) mechanic, and 3) dispatcher.

We are interested in the relationship between the three continuous variables
and our categorical variable.  Specifically, we would like to know how many
dimensions we would need to express the relationship.  Using this relationship,
we can predict a classification based on the continuous variables or assess how
well the continuous variables separate the categories in the classification.  We
will be discussing the
degree to which the continuous variables can be used to discriminate
between the groups.  Some options for visualizing what occurs in discriminant analysis can be found in the
Discriminant Analysis
Data Analysis
Example.

First, let’s read in our data and look at them.

use https://stats.idre.ucla.edu/stat/stata/dae/discrim, clear

Stata has several commands that can be used for discriminant analysis.

Candisc performs canonical linear discriminant analysis which is the
classical form of discriminant analysis.  We have opted to use candisc, but you could also use discrim
lda which performs the same analysis with a slightly different set of
output. We first list the continuous variables (the “discriminating” variables), and then indicate with
group() the categorical variable of interest.

candisc outdoor social conservative, group(job)

Canonical linear discriminant analysis

      |                                 | Like- 
      | Canon.   Eigen-     Variance    | lihood
  Fcn | Corr.    value   Prop.   Cumul. | Ratio     F      df1    df2  Prob>F
  ----+---------------------------------+------------------------------------
    1 | 0.7207  1.08053  0.7712  0.7712 | 0.3640  52.382     6    478  0.0000 e
    2 | 0.4927  .320504  0.2288  1.0000 | 0.7573   38.46     2    240  0.0000 e
  ---------------------------------------------------------------------------
  Ho: this and smaller canon. corr. are zero;                     e = exact F

Standardized canonical discriminant function coefficients

                 | function1  function2 
    -------------+----------------------
         outdoor |  .3785725   .9261104 
          social | -.8306986   .2128593 
    conservative |  .5171682  -.2914406 

Canonical structure

                 | function1  function2 
    -------------+----------------------
         outdoor |  .3230982   .9372155 
          social | -.7653907   .2660298 
    conservative |   .467691  -.2587426 

Group means on canonical variables

            | job              
    --------+------------------
     group1 | customer service 
     group2 | mechanic         
     group3 | dispatch         

                 | function1  function2 
    -------------+----------------------
          group1 |   -1.2191  -.3890039 
          group2 |  .1067246   .7145704 
          group3 |  1.419669  -.5059049 

Resubstitution classification summary

    +---------+
    | Key     |
    |---------|
    | Number  |
    | Percent |
    +---------+
                 | Classified                     
    True         | group1  group2  group3 |  Total
    -------------+------------------------+-------
          group1 |     70      11       4 |     85
                 |  82.35   12.94    4.71 | 100.00
                 |                        |       
          group2 |     16      62      15 |     93
                 |  17.20   66.67   16.13 | 100.00
                 |                        |       
          group3 |      3      12      51 |     66
                 |   4.55   18.18   77.27 | 100.00
    -------------+------------------------+-------
           Total |     89      85      70 |    244
                 |  36.48   34.84   28.69 | 100.00
                 |                        |       
          Priors | 0.3333  0.3333  0.3333 |       

Linear Discriminant Analysis and Coefficients

Canonical linear discriminant analysis

       |                                  | Like- 
       | Canon.   Eigen-     Variance     | lihood
  Fcna | Corr.b   valuec  Prop.d  Cumul.e | Ratiof    Fg     df1h   df2i Prob>Fj
  -----+----------------------------------+------------------------------------
    1  | 0.7207  1.08053  0.7712  0.7712  | 0.3640  52.382     6    478  0.0000 e
    2  | 0.4927  .320504  0.2288  1.0000  | 0.7573   38.46     2    240  0.0000 e
  -----------------------------------------------------------------------------
  Ho: this and smaller canon. corr. are zero;                     e = exact F

a. Fcn –

This indicates the first or second canonical linear discriminant function.  The number of functions
is equal to 1 less than the number of levels in the
group variable or the number of discriminating variables, if there are more
groups than variables.  In this example, job has three levels and
three discriminating variables were used, so two functions
are calculated.  Each function acts as projections of the data onto a dimension
that best separates or discriminates between the groups.

b. Canon. Corr. – These are the canonical correlations of the
functions.  If we consider our discriminating variables to be one set of
variables and the set of dummies generated from our grouping variable to be
another set of variables, we can perform a canonical correlation analysis on
these two sets.

xi: canon ( outdoor social conservative ) ( i.job )

This analysis determines how the sets of variables relate to each other using
pairs of linear combinations of the variables from each set (“canonical variates”).
Canonical correlations are the Pearson correlations of these pairs of canonical
variates.  So if we run the above command, the Stata output will include the canonical correlations we see in our
candisc output:

Canonical correlations:
  0.7207  0.4927

In canonical correlation, each pair of linear combinations is generated to be
maximally correlated, (i.e. best relate the sets of variables to each other).
It makes sense that finding the ways in which the discriminating variables can
be most predictive of the grouping variable would be part of discriminant
analysis.  These correlations are closely associated with the eigenvalues of the functions and can
be calculated as the square root of (eigenvalue)/(1+eigenvalue).  They are
indicative of how much discriminating power the functions possess.  For
more on information on canonical correlation, see  Stata
Annotated Output: CCA.

c. Eigenvalue –

These are the eigenvalues of the matrix product of the inverse of the
within-group sums-of-squares and cross-product matrix and the between-groups
sums-of-squares and cross-product matrix.  These eigenvalues are related to
the canonical correlations and describe how much discriminating power a
function possesses.

d.
Prop. – This is the proportion of discriminating power of the three
continuous variables found in a given
function.  This proportion is calculated as the proportion of the function’s eigenvalue to the sum of all the eigenvalues.  In this analysis, the first function accounts for 77% of the
discriminating power of the discriminating variables and the second function
accounts for 23%.  We can verify this by noting that the sum of the eigenvalues
is 1.08053+.320504 = 1.401034.  Then (1.08053/1.401034) = 0.7712 and (0.320504/1.401034)
= 0.2288.

e. Cumul. –

This is the cumulative proportion of discriminating power.  For any
analysis, the proportions of discriminating power will sum to one.  Thus, the
last entry in the cumulative column will also be one.

f. Likelihood Ratio –

This is the likelihood ratio of a given function.  It can be used as a test
statistic to evaluate the hypothesis that the current canonical correlation and
all smaller ones are zero in the population.  This is equivalent to Wilks’ lambda
and is calculated as the product of (1/(1+eigenvalue)) for all functions
included in a given test.  For example, the likelihood ratio associated
with the first function is based on the eigenvalues of both the first and second
functions and is equal to (1/(1+1.08053))*(1/(1+.320504)) = 0.3640.  The test
associated with the second function is based only on the second eigenvalue and
has a likelihood ratio of (1/(1+.320504)) = 0.7573.

g. F – This is the F statistic testing that the canonical correlation
of the given function is equal to zero.  In other words, the null
hypothesis is that the function, and all functions that follow, have no
discriminating power.  This hypothesis is tested using the F statistic, which is
generated from the likelihood ratio.

h. df1 –

This is the effect degrees of freedom for the given function.  It is based on the
number of groups present in the categorical variable and the number of
continuous discriminant variables.

i. df2 –

This is the error degrees of freedom for the given function.  It is based
on the number of groups present in the categorical variable, the number of
continuous discriminant variables, and the number of observations in the
analysis.

j. Prob>F –

This is the p-value associated with the F statistic of a given
function.  The null hypothesis that a given function’s canonical correlation and
all smaller canonical correlations are
equal to zero is evaluated with regard to this p-value.  If the p-value is less than
the specified alpha (say 0.05), the null hypothesis is rejected.  If not, then
we fail to reject the null hypothesis.  In this example, we reject both null hypotheses that
the canonical correlations of functions 1 and 2 are zero at alpha level 0.05 because the p-values are
both less than 0.05.  Thus, both functions are helpful in discriminating between
the groups found in job based on the discriminant variables in the model.

Standardized canonical discriminant function coefficientsk

                 | function1  function2 
    -------------+----------------------
         outdoor |  .3785725   .9261104 
          social | -.8306986   .2128593 
    conservative |  .5171682  -.2914406 

Canonical structurel

                 | function1  function2 
    -------------+----------------------
         outdoor |  .3230982   .9372155 
          social | -.7653907   .2660298 
    conservative |   .467691  -.2587426 


Group means on canonical variablesm

            | job              
    --------+------------------
     group1 | customer service 
     group2 | mechanic         
     group3 | dispatch         

                 | function1  function2 
    -------------+----------------------
          group1 |   -1.2191  -.3890039 
          group2 |  .1067246   .7145704 
          group3 |  1.419669  -.5059049

k. Standardized canonical discriminant function coefficients –

These coefficients can be used
to calculate the discriminant score for a given record.  The score is calculated
in the same manner as a predicted value from a linear regression, using the
standardized coefficients and the standardized variables.  For example, let
zoutdoor, zsocial, and zconservative be the variables created by
standardizing our discriminating variables.  Then, for each record, the
function scores would be calculated using the following equations:

Score1 = .3785725*zoutdoor – .8306986*zsocial + .5171682*zconservative

Score2 = .9261104 *zoutdoor + .2128593*zsocial –
.2914406*zconservative

The distribution of the scores from each function is standardized
to have a mean of zero and standard deviation of one.  The magnitudes of these
coefficients indicate how strongly the discriminating variables effect the
score.  For example, we can see that the standardized coefficient for zsocial
in the first function is greater in magnitude than the coefficients for the other
two variables.  Thus, social will have the greatest impact of the three on the first discriminant
score.

l.
Canonical structure –

This is the canonical structure, also known as canonical loading or discriminant
loadings, of the discriminant functions.  It represents the correlations between
the observed variables (the three continuous discriminating variables) and the
dimensions created with the unobserved discriminant functions (dimensions).

m. Group means on canonical variables –

These are the means of the discriminant function scores by group for each
function calculated.  If we calculated the scores of the first function for
each record in our dataset, and then looked at the means of the scores by group,
we would find that group 1 has a mean of -1.2191, group 2 has a mean of .1067246,
and group 3 has a mean of 1.419669.  We know that the function scores have a mean
of zero, and we can check this by looking at the sum of the group means multiplied
by the number of records in each group: (85*-1.2191)+(93*.1067246)+(66*1.419669)
= 0.

Resubstitution classification summary

    +---------+
    | Key     |
    |---------|
    | Number  |
    | Percent |
    +---------+
                 | Classifiedo                     
    Truen        | group1  group2  group3 |  Total
    -------------+------------------------+-------
          group1 |     70      11       4 |     85
                 |  82.35   12.94    4.71 | 100.00
                 |                        |       
          group2 |     16      62      15 |     93
                 |  17.20   66.67   16.13 | 100.00
                 |                        |       
          group3 |      3      12      51 |     66
                 |   4.55   18.18   77.27 | 100.00
    -------------+------------------------+-------
           Totalp|     89      85      70 |    244
                 |  36.48   34.84   28.69 | 100.00
                 |                        |       
          Priorsq| 0.3333  0.3333  0.3333 |

n.
True –
These are the frequencies of groups found in the data.  We can see from the row
totals that 85 records fall into group 1, 93 fall into group 2, and 66 fall into
group 3.  These match the results we saw earlier when we looked at the
output for the command tabulate job.  Across each row, we see how many of the records in the group are classified by
our analysis into each of the different groups.  For example, of the 85 records
that are in group 1, 70 are classified correctly by the analysis as belonging to
group 1 and 15 are classified incorrectly as not belonging to group 1 (11 in
group 2 and 4 in group 1).

o. Classified –
These are the predicted frequencies of groups from the analysis.  The
column totals at the bottom indicate how many total records were predicted to be
in each group.  The numbers going down each column indicate how many were
correctly and incorrectly classified.  For example, of the 89 records that were
predicted to be in group 1, 70 were correctly predicted, and 19 were incorrectly
predicted (16 group 2 records and 3 group 3 records were predicted to be in
group 1).

p. Total –
These are the sums of the counts in a given row or column (and, in the bottom
right-hand corner, the table).  The
row sums are the total number of observations in each group.  The
column sums are the total numbers of observations predicted to be in each
group.  The row percents sum to 100%, as displayed in the Total column.  The
column sums do not sum to 100%, nor do they sum to the percents shown in the
Total row.  The percents listed in the total row (36.48, 34.84 and 29.69) are
the percents of the total records predicted to be in each group.  These do
sum to 100%, as shown in the square at the bottom right of the table.

q. Priors –
These are the prior proportions assumed for the distribution of records into the
groups.  By default, the records are assumed to be equally distributed among the
categories.  Here, we have three groups into which we are classifying records, so
the priors proportions are all one third.  Stata allows for different priors to be specified using the priors
option.