BookmarkSubscribeRSS Feed
WeiLSTAT
Calcite | Level 5

I borrow test data in the reference below as an example to explain my questions.

Reference: https://www.mwsug.org/proceedings/2017/AA/MWSUG-2017-AA02.pdf.

Coding was attached to facilitate your check.

 

Question 1

How should I code to gain parameter estimates in each step of all 20 rather than the selected (last) step alone from a single running of proc hpgenselect? This question is about further calculating other metrics not available in the procedure (such as AUC) per step in data not used to train models.

WeiLSTAT_0-1700082988688.png

Snapshot of selection details:

WeiLSTAT_1-1700083149583.png

 

Question 2

Why are parameter estimates, AIC, AICC, BIC, ... not the same between?

  • Model 1 Step 2 Lambda 0.8*0.8 = 0.64
  • Model 2 Step 1 Lambda 0.64

Why is Chosen Regularization Parameter in Model 2 not equal to 0.64*0.190154?

 

Model 1

WeiLSTAT_3-1700083364752.png

WeiLSTAT_2-1700083341607.png

WeiLSTAT_4-1700083390102.png

WeiLSTAT_5-1700083423438.png

 

Model 2

WeiLSTAT_6-1700083459207.png

WeiLSTAT_7-1700083492645.png

WeiLSTAT_8-1700083504299.png

WeiLSTAT_9-1700083522842.png

 

Thanks!



sas-innovate-2024.png

 

Secure your spot at the must-attend AI and analytics event of 2024: SAS Innovate 2024! Get ready for a jam-packed agenda featuring workshops, super demos, breakout sessions, roundtables, inspiring keynotes and incredible networking events.

 

Register by March 1 to snag the Early Bird rate of just $695! Don't miss out on this exclusive offer. 

 

Register now!

What is ANOVA?

ANOVA, or Analysis Of Variance, is used to compare the averages or means of two or more populations to better understand how they differ. Watch this tutorial for more.

Find more tutorials on the SAS Users YouTube channel.

Discussion stats
  • 0 replies
  • 641 views
  • 0 likes
  • 1 in conversation