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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!



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