ncvreg-package

ncvreg: Regularization Paths for SCAD and MCP Penalized Regression Models

Fits regularization paths for linear regression, GLM, and Cox regression models using lasso or nonconvex penalties, in particular the minimax concave penalty (MCP) and smoothly clipped absolute deviation (SCAD) penalty, with options for additional L2 penalties (the "elastic net" idea). Utilities for carrying out cross-validation as well as post-fitting visualization, summarization, inference, and prediction are also provided. For more information, see Breheny and Huang (2011) tools:::Rd_expr_doi("10.1214/10-AOAS388") or visit the ncvreg homepage https://pbreheny.github.io/ncvreg/. package

Examples

vignette("getting-started", package="ncvreg")

References

Breheny P and Huang J. (2011) Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection. Annals of Applied Statistics, 5 : 232-253.

See Also

Useful links:

• https://pbreheny.github.io/ncvreg/
• https://github.com/pbreheny/ncvreg
• Report bugs at https://github.com/pbreheny/ncvreg/issues

Author(s)

Maintainer : Patrick Breheny patrick-breheny@uiowa.edu (ORCID)