I am at my wits end trying to find SAS implementations of several standard statistical procedures, having come from the world of R and Python. Can someone please help me? I am trying really hard to appreciate SAS. How can one do Logistic Regression optimized with a ridge regression, in SAS? According to comments here and here this should already be implemented in SAS with PROC HPGENSELECT. But how? I am new to SAS, having come from the world of R. I am a little disoriented and having a generally hard time finding R-analogues in SAS. Note: The Newton-Raphson with ridging method implemented in PROC HPGENSELECT, which is implemented "as needed", is probably done for computational reasons when computing the maximum likelihood (especially when there is multicollinearity). I am guessing that the ridge parameter there is really tiny, and for proper ridge regression you want to penalize large coefficients and must be able to tune the ridge parameter to your needs.
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