Programming the statistical procedures from SAS

How can I plot LASSO solution pass (X axis shows the normalized tuning value, Y axis shows ASE)

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Occasional Contributor
Posts: 10

How can I plot LASSO solution pass (X axis shows the normalized tuning value, Y axis shows ASE)

I am trying to plot LASSO solution pass such as Figure 3 of "Funda Gunes, SAS Institute Inc. Penalized Regression Method for Linear Models in SAS/STATS".

 

"plots=all" option of glmselect shows the graph of which X axis shows step No., Y axis shows ASE (Aberage Squared Errors)

but I want to plot the graph  of which X axis shows the normalized tuning value (L1 norm of the regression coefficients divided by the L1 norm of the ordinary least squares splution), Y azis shows ASE.

 

How can I plot it ?

Occasional Contributor
Posts: 10

Re: How can I plot LASSO solution pass (X axis shows the normalized tuning value, Y axis shows ASE)

I could plot it !

 

plot(stepaxis=normb)=all;

 

Thanks.

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