GLMSelect - Selection=Lasso | Selection=GroupLasso

Pritish — Tue, 14 Apr 2020 20:26:24 GMT

Hi - Can some one help me understand what is the default Lambda value in Selection=Lasso for proc GLMSelect?

I came across a forum discussion in which Rick suggested a user to use Selection=GroupLasso, if the user would like to set the lambda (L1) parameter.

Also, if I use GroupLasso without L1 value that will be default value for L1 hyper-parameter?

selection=GROUPLASSO(adaptive choose=sbc stop=L1 SHOWSTEPL1);

topic GLMSelect - Selection=Lasso | Selection=GroupLasso in Statistical Procedures