How do I get the value of the R-Sq, L1, L2 and lambda out of Elastic Net Regression platform so I can compare models?
I am comparing different parameter settings for some elastic net regression models on a smallish data set to demonstrate at what point datasets are too small for regression methods and want to compare between JMP, SAS, R and Python. Although I can set the alpha, I can't see how to directly output the lambda, L1 and L2 values that are used in the chosen models and the resulting R-Sq for the model. ...