Thanks again!
Sorry, I was not clear in my previous question. Different methods (AIC, BIC, Cross-validation) can be used to select an optimal value of the regularization parameter i LASSO.
I have seen some code examples where selection=LASSO(choose=sbc).
If you don't enter anything after LASSO (ie no choose option), which model does SAS use to estimate the regularization parameter?
Since LASSO is quite new in HPGENSELECT I have not found any code examples how do perform cross-validation in this procedure (this is the first time I perform a LASSO regression).
Could this be a correct syntax:
proc hpgenselect data=sashelp.class; partition fraction(test=0.25 validate=0.25);
model sex(event="M") = height weight age / dist=binary;
selection method=lasso;
run;
/Thomas
... View more