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Forgive me if a dumb question:
Can you penalize (L1 or L2 penalty) a subset of predictors in any SAS procedures?
I'm looking at:
2 categorical variables
1 group of non-mutually exclusive dummy variables (list of a few hundred medical conditions)
Can I penalize the latter group of dummy variables without penalizing the categorical variables?
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NLMIXED is a procedure that can fit a wide variety of model and can be used to apply penalization including L1 (LASSO), L2 or a combination (elastic net) regularization. See this note which discusses and illustrates this. In particular, see Example 4 which shows how a subset of the model parameters can be penalized.
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NLMIXED is a procedure that can fit a wide variety of model and can be used to apply penalization including L1 (LASSO), L2 or a combination (elastic net) regularization. See this note which discusses and illustrates this. In particular, see Example 4 which shows how a subset of the model parameters can be penalized.
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