MODE Subcommand (LINEAR_LASSO extension command)

The MODE subcommand allows specification of one of three modes.

FIT.

Fit a single model with specified alpha regularization. This is the default.

TRACE.

Display plots of estimated regression coefficients, MSE, and R² as a function of alpha for the specified set of alpha values.

CROSSVALID.

Perform k-fold crossvalidation to select the best value for the alpha parameter from the specified values.