topic Re: Example Data Set For Showing Superiority of LASSO Over Stepwise Selection in Statistical Procedures

Example Data Set For Showing Superiority of LASSO Over Stepwise Selection

PurpleNinja — Fri, 23 Sep 2016 22:09:17 GMT

Hello Everyone,

I want to demonstrate that

a) LASSO regression is superior to stepwise selection for variable selection

b) LASSO regression is superior to linear regression for prediction

I would like to use PROC GLMSELECT in SAS 9.3 to illustrate this. Would anyone have a data set and some code to do so?

If you have just the data set but no code, that's fine - I would be glad to write it by myself.

If you have both the data and the code, that would be even better!

Thanks for your help.

Re: Example Data Set For Showing Superiority of LASSO Over Stepwise Selection

Ksharp — Sat, 24 Sep 2016 02:54:04 GMT

Compare AIC BIC PRESS .... these model fit statistic with these two method.

I don't understand your second question. LASSO is variable selection method ,not a regression method.

There are some better method than LASSO , like Net-LASSO .
Check the documentation .

Re: Example Data Set For Showing Superiority of LASSO Over Stepwise Selection

PurpleNinja — Wed, 28 Sep 2016 19:42:06 GMT

Hi Ksharp,

Sorry - I could have phrased that second question better. Suppose I generate 2 different models:

a) one model is obtained from stepwise selection

b) one model is obtained from LASSO

I want to show that the predictive accuracy of Model B is higher than that of Model A.

As Wikipedia notes, LASSO enhances the predictive accuracy of a resulting statistical model.

https://en.wikipedia.org/wiki/Lasso_(statistics)

Would you have an example data set that I can use to demonstrate this?

Thanks.

Re: Example Data Set For Showing Superiority of LASSO Over Stepwise Selection

Ksharp — Thu, 29 Sep 2016 08:31:22 GMT


Yeah. LASSO would be better than STEPWISE .
After using these two method with PROC GLMSELECT ,
Check the following fit statistics:

AIC 2172.72685
AICC 2174.27787
SBC 1736.94624
ASE (Train) 24.18515
ASE (Validate) 25.74617
ASE (Test) 22.57297

I would expect LASSO has smaller value of these statistics than STEPWISE.

Re: Example Data Set For Showing Superiority of LASSO Over Stepwise Selection

PurpleNinja — Mon, 03 Oct 2016 15:07:16 GMT

Hello Ksharp,

Could you please tell me where you got these statistics? Did you apply those methods to a data set? If so, could you please tell me where that data set comes from?

Thanks.

Re: Example Data Set For Showing Superiority of LASSO Over Stepwise Selection

Ksharp — Tue, 04 Oct 2016 02:36:04 GMT

These goodness-fit statistics I referred to is from SAS documentation. There are many example you can work with in PROC GLMSELECT documentation.

Re: Example Data Set For Showing Superiority of LASSO Over Stepwise Selection

PurpleNinja — Thu, 19 Apr 2018 14:29:43 GMT

Sorry for the very late reply, Ksharp. I forgot about this thread.

Thank you very much for your help!