The solution paths for the Lasso and Ridge Estimation Methods depend on a single tuning parameter. The solution path for the Elastic Net depends on a tuning parameter for the penalty on the likelihood as well as the Elastic Net Alpha. The penalty on the likelihood for the Elastic Net is a weighted sum of the penalties associated with the Lasso and Ridge Estimation Methods. The Elastic Net Alpha determines the weights of these two penalties. See Statistical Details for Estimation Methods and Statistical Details for Advanced Controls.
The grid of tuning parameter values ranges from zero, in most cases, to the smallest value for which all of the non-intercept terms are zero. Define the smallest value of the tuning parameter for which all non-intercept terms are zero to be its upper bound. The lower bound for the tuning parameter is zero except in the following two cases where it is set to 0.0001:
Requires lower-order effects to enter the model before their related higher order effects. In most cases, this means that X2 is not in the model unless X is in the model. For estimation methods other than Forward Selection, however, it is possible for X2 to enter the model and X to leave the model in the same step. If the data table contains a DOE script, this option is enabled, but it is off by default.
Sets the α parameter for the Elastic Net. This α parameter determines the mix of the l1 and l2 penalty tuning parameters in estimating the Elastic Net coefficients. The default value is α = 0.99, which sets the coefficient on the l1 penalty to 0.99 and the coefficient on the l2 penalty to 0.01. This option is available only when Elastic Net is selected as the Estimation Method. See Statistical Details for Estimation Methods.
Provides options for choosing the distribution of the grid scale. You can choose between a linear, square root, or log scale. Grid points equal in number to the specified Number of Grid Points are distributed according to the selected scale between the lower and upper bounds of the tuning parameter. The default grid scale is square root. See Statistical Details for Advanced Controls.
Provides options for choosing the solution in the first stage of the Double Lasso and Two Stage Forward Selection. By default, the solution that is the best fit according to the specified Validation Method is selected and is the solution initially shown (Best Fit). You can choose to initially display models with larger or smaller l1 norm values that lie in the green or yellow zones. For example, if you choose Smallest in Yellow Zone, the initially displayed solution is the model in the yellow zone that has the smallest l1 norm. See Comparable Model Zones.
Provides options for choosing the solution that is initially displayed as the current model in the Solution Path report. The current model is identified by a solid vertical line. See Current Model Indicator. The best fit solution is identified by a dotted vertical line. By default, the displayed solution is the one that is considered the best fit according to the specified Validation Method.
You can choose to initially display models with larger or smaller l1 norm values that still lie in the green or yellow zones. For example, if you choose Smallest in Yellow Zone, the initially displayed solution is the model in the yellow zone that has the smallest l1 norm. See Comparable Model Zones.