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.

Reference:
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

ElasticNet in SAS

Try out Elastic Net [1] in normal linear regression, using Naive algorithm. Exploring possibilities for GLM Elastic Net in SAS.

1. Zou, H and Hastie, T (2005). Regularization and variable Selection via the Elastic Net, Journal Of The Royal Statistical Society Series B.