The PHSELECT Procedure

The PHSELECT procedure fits the Cox proportional hazards regression models for survival data and performs variable selection in SAS Viya.

The models that PROC PHSELECT supports can contain main effects that consist of both continuous and classification variables and interaction effects of these variables. The models can also include constructed effects such as splines. The procedure offers a number of effect-selection methods, including stepwise methods and modern LASSO methods. It also offers extensive capabilities for customizing the model selection by using a wide variety of selection and stopping criteria, from computationally efficient significance-level-based criteria to modern, computationally intensive validation-based criteria. PROC PHSELECT also provides a variety of Cox regression diagnostics that are conditional on the selected model.