topic Re: proc glmselect ridge regression without IVs selection in Statistical Procedures

proc glmselect ridge regression without IVs selection

csetzkorn — Tue, 14 Nov 2017 15:55:58 GMT

Hi all,

I would like to perform ridge/elastic net regression to obtain more reliable parameter estimates without throwing away features IVs. Is this possible when I use PROC GLMSELECT. Thanks,

Re: proc glmselect ridge regression without IVs selection

lakshmi_74 — Tue, 14 Nov 2017 16:53:10 GMT

PROC GLMSELECT DATA=dsn outvif outest =results_setname RIDGE=ridgeparameter;

MODEL dependent=independent_variables;

PLOT/RIDGEPLOT;

RUN;

Re: proc glmselect ridge regression without IVs selection

csetzkorn — Wed, 15 Nov 2017 08:32:56 GMT

I do not think that works. It is not the correct syntx for proc glmselect