On near perfect classification and functional Fisher rules via reproducing kernels

The H\'ajek-Feldman dichotomy establishes that two Gaussian measures are either mutually absolutely continuous with respect to each other (and hence there is a Radon-Nikodym density for each measure with respect to the other one) or mutually singular. Unlike the case of finite dimensional Gaussian measures, there are non-trivial examples of both situations when dealing with Gaussian stochastic processes. This paper provides: (a) Explicit expressions for the optimal (Bayes) rule and the minimal classification error probability in several relevant problems of supervised binary (functional) classification of mutually absolutely continuous Gaussian processes. The approach relies on some classical results in the theory of Reproducing Kernel Hilbert Spaces (RKHS). (b) An interpretation, in terms of mutual singularity, for the "near perfect classification" phenomenon, described by Delaigle and Hall (2012). We show that the asymptotically optimal rule proposed by these authors can be identified with the sequence of optimal rules for an approximating sequence of classification problems in the absolutely continuous case. (c) A new model-based method for variable selection in binary classification problems, which arises in a very natural way from the explicit knowledge of the RN-derivatives and the underlying RKHS structure. As a consequence, the optimal classifier in a wide class of functional classification problems can be expressed in terms of a classical, linear finite-dimensional Fisher rule.