As the first step in the decommissioning of the site has been converted to read-only mode.

Here are some tips for How to share your SAS knowledge with your professional network.

Tips:Implement Regularized Discriminant Analysis in SAS

From sasCommunity
Jump to: navigation, search

Friedman proposed Regularized Discriminant Analysis (RDA) to overcome multicollinearity and other causes that make LDA/QDA ill-conditioned. The core idea is to regularize illy-conditioned within class covariance matrix with the pooled covariance matrix for QDA or to regularize illy-conditioned pooled covariance matrix with a diagonal matrix for LDA. For details about this algorithm, check the book: Elements of Statistical Learning, Chapter 4, section 3.1.

To implement RDA, we output sufficient statistics using OUTSTAT= in PROC DISCRIM and make appropriate changes to relevant statistics, then use the scoring functionality for PROC DISCRIM to re-score the data with regularized covariance matrix. See link below for sample code on Regularized LDA.

....see also

Submitted By Liang Xie