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);
https://communities.sas.com/t5/Statistical-Procedures/getting-the-selection-details-lambda-fit-stati...