Sunday, April 10, 2011

Regularized Discriminant Analysis

Demo SAS implementation of Regularized (Linear) Discriminate Analysis of J. Friedman (1989)[1]. Simpler introduction can be found at [2]. Regularized QDA follows similarly.

To save coding, I called R within SAS to finish the computation. For details to see how to call R within SAS, check here.

1. Friedman, J. (1989). Regularized discriminant analysis, Journal of the American Statistical Association 84: 165-175.
2. Friedman, J; Hastie, T; Tibshirani, R (2008). The Elements of Statistical Learning, section 4.3.1

The Elements of Statistical Learning: Data Mining, Inference, and Prediction, Second Edition (Springer Series in Statistics)

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