Lasso Regression Options

Use this to select different options to be used in a Lasso regression.

Display

Specifies which items of output are to be displayed in the Output window.

Best estimates	The lasso estimates for the optimal λ
All estimates	For each value of λ, the lasso coefficients and their standard errors on the standardized and original scales
Progress	Shows the progress of the k-fold cross-validation
Fitted values	Shows the fitted values and their standard errors and confidence limits.
Cross-validation	The cross-validation results, with optimal λ value
Correlation	The correlations between the explanatory variables in the model formula
Monitoring	Shows the progress of the bootstrap sampling used to estimate the standard errors and confidence limits of the fitted values

Graphics

This controls what graphical plots are displayed from the analysis:

Coefficients	Plots the standardized coefficient estimates against the shrinkage factor, and correlations
Correlations	Uses the DCORRELATION procedure to produce a graphical representation of the correlation matrix for elements in the model formula

Methods

This controls how the optimal value of λ is selected.

Cross-validation	Use k-fold cross-validation where the prediction error is calculated using the mean squared error
Generalized cross-validation	Use the generalized cross-validation, as specified by Tibshirani (1996) – see RLASSO for full reference

Number of cross-validation groups

For the cross-validation, this gives the number of groups the data will be allocated to. Each group is then left out of the analysis and predicted from the remaining groups. On each run, the units are randomly assigned to groups using the randomization seed.

Maximum number of iterations

This option specifies the maximum number of iterations that can be used for the iterative process of model fitting, default 100.

Convergence tolerance

Specifies convergence criterion for the iterative least-squares. This is a small number that controls when the model fitting process stops.

Division by zero tolerance

Specifies a small adjustment to avoid division by zero in the penalty term.

Number of bootstrap samples

This specifies the number of bootstrap samples used to estimate the standard errors
and confidence limits of the fitted values. Increasing this will slow down the generation
of the results, but give more precision.

Randomization seed

Specifies the seed for the random number generator used to make the cross-validation groups; default 0 continues from the previous generation or (if none) initializes the seed automatically.

Probability level for confidence limits

Specifies the probability level for confidence limits for the fitted values. This must be a number between 0 and 1. For values close to 1, the number of bootstrap samples should be increased for accuracy (a minimum of 2/(1-p) is suggested).