ridge regression with proc glmselect

csetzkorn — Mon, 06 Nov 2017 11:01:37 GMT

Looking at this:

http://support.sas.com/documentation/cdl/en/statug/66859/HTML/default/viewer.htm#statug_glmselect_examples06.htm

It appears that one can perform ridge regression to deal with collinearity using for example:

proc glmselect data=sashelp.Leutrain valdata=sashelp.Leutest
               plots=coefficients;
  model y = x1-x7129/
        selection=elasticnet(steps=120 L2=0.001 choose=validate);
run;

Is this correct? Can anyone please recommend some papers/books talking about the elasticnet method in more details please?

Re: ridge regression with proc glmselect

PaigeMiller — Mon, 06 Nov 2017 14:07:43 GMT

Google finds many papers on the elastic net. The SAS documentation you refer to also contains a reference to a paper by Zou and Hastie on this subject.

topic ridge regression with proc glmselect in Statistical Procedures

ridge regression with proc glmselect

Re: ridge regression with proc glmselect