sda

sda: Shrinkage Discriminant Analysis and CAT Score Variable Selection , This package provides an efficient framework for high-dimensional linear and diagonal discriminant analysis with variable selection. The classifier is trained using James-Stein-type shrinkage estimators and predictor variables are ranked using CAT scores (correlation-adjusted t-scores). Variable selection error is controlled using false non-discovery rates or higher criticism scores. (Source: http://cran.r-project.org/web/packages)