Regularized Discriminant Analysis

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Regularized discriminant analysis is the same as quadratic discriminant analysis with an additional parameter.

The additional parameter, lambda, represents the amount of shrinkage of each class covariance matrix towards the overall covariance matrix that is used in LDA. A value of lambda = 1 will result in linear discriminant analysis whereas a value of lambda = 0 will result in quadratic discriminant analysis. However, in both cases it is not recommended to use this generalized method and instead use the specialized methods lda or qda.

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