SAS Procedures for Variable Selection Public

The Methodology Center released two SAS procedures, PROC SCADLS, which does linear regression using penalized least squares with the SCAD penalty and SCADGLIM which implements the SCAD variable selection method in the context of penalized maximum-likelihood generalized linear regression models. This approach automatically selects and estimates a model at the same time.

README

SAS Procedures for Variable Selection

Overview

Variable selection is a classic and very important problem in applied statistics. Methodology Center researcher Dr. Runze Li and his collaborators have been studying penalized likelihood approaches to automatic variable selection for predictive modeling when the number of potential predictors is very large. This involves adjusting the likelihood function using a penalty that rewards parsimony. One such penalty function, which has some favorable theoretical properties, is the smoothly clipped absolute deviation (SCAD) penalty (see Fan & Li, 2001).
The Methodology Center released two SAS procedures, PROC SCADLS, which does linear regression using penalized least squares with the SCAD penalty and SCADGLIM which implements the SCAD variable selection method in the context of penalized maximum-likelihood generalized linear regression models. This approach automatically selects and estimates a model at the same time.

Downloads

  • 32-bit Windows, 32-bit SAS (v. 1.2): proc_scadls_scadglim_1_2_setup_32s.zip
  • 64-bit Windows, 32-bit SAS (v. 1.2): proc_scadls_scadglim_1_2_setup_32s-64w.zip
  • 64-bit Windows, 64-bit SAS (v. 1.2): proc_scadls_scadglim_1_2_setup_64.zip
  • PROC SCADLS & SCADGLIM Users' Guide (v. 1.2): proc_scadls_1_2_UsersGuide-1.zip

Recommended Citations

Fan, J., & Li, R. (2001). Variable selection via nonconcave penalized likelihood and its oracle properties. Journal of the American Statistical Association, 96(456), 1348-1360.

PROC SCADLS & PROC SCADGLIM (Version 1.2.1) [Software]. (2014). University Park: The Methodology Center, Penn State.

Dziak, J. J., Lemmon, D. R., Li, R., & Huang, L. (2014). PROC SCADLS users' guide (Version 1.2). University Park: The Methodology Center, Penn State.

Dziak, J. J., Lemmon, D. R., Li, R., & Huang, L. (2014). PROC SCADGLIM users' guide (Version 1.2). University Park: The Methodology Center, Penn State.