Data Analysis Papers
Introducing the GLMSELECT PROCEDURE for Model Selection
Robert A. Cohen, SAS Institute, 2006
Abstract
This paper describes the GLMSELECT procedure, a new procedure in SAS/STAT software that performs model selection in the framework of general linear models. This procedure supports a variety of model selection methods, including the LASSO method of Tibshirani (1996) and the related LAR method of Efron et 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 stopping criteria.
Statistics and Operations
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