Transcription of SUGI 31 Statistics and Data Anal ysis
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SUGI 31 Statistics and Data Anal ysis
Paper 207-31 introducing the glmselect PROCEDURE for Model SelectionRobert A. Cohen, SAS Institute Inc. Cary, NCABSTRACTThis paper describes the glmselect procedure, a new procedure in SAS/STAT software that performsmodel selection in the framework of general linear models. This procedure supports a variety of modelselection methods, including the LASSO method of Tibshirani (1996) and the related LAR method of Efronet al. (2004). The procedure enables selection from a very large number of effects (tens of thousands)and offers extensive capabilities for customizing the selection with a wide variety of selection and faced with a predictive modeling problem that has many possible predictor effects dozens, hun-dreds, or even thousands a natural question is What subset of the effects provides the best model forthe data?
Paper 207-31 Introducing the GLMSELECT PROCEDURE for Model Selection Robert A. Cohen, SAS Institute Inc. Cary, NC ABSTRACT This paper describes the GLMSELECT procedure, a new procedure in SAS/STAT software that performs
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