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Regularization paths for MCP and SCAD penalized regression models

ncvreg is an R package for fitting 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.

post-selection inference, see Breheny P (2019). Marginal false discovery rates for penalized regression models. Biostatistics, 20: 299-314

Installation

To install the latest release version from CRAN:

install.packages("ncvreg")

To install the latest development version from GitHub:

remotes::install_github("pbreheny/ncvreg")

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Install

install.packages('ncvreg')

Monthly Downloads

2,804

Version

3.12.0

License

GPL-3

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Maintainer

Patrick Breheny

Last Published

July 9th, 2020

Functions in ncvreg (3.12.0)

cv.ncvreg

Cross-validation for ncvreg/ncvsurv
mfdr

Marginal false discovery rates
Heart

Risk factors associated with heart disease
ncvfit

Direct interface for nonconvex penalized regression (non-pathwise)
local_mfdr

Estimate local mFDR for all features
plot.ncvsurv.func

Plot survival curve for ncvsurv model
predict.ncvsurv

Model predictions based on a fitted "ncvsurv" object.
Prostate

Factors associated with prostate specific antigen
permres

Permute residuals for a fitted ncvreg model
ncvreg-internal

Internal ncvreg functions
predict.ncvreg

Model predictions based on a fitted ncvreg object.
ncvreg

Fit an MCP- or SCAD-penalized regression path
ncvreg-package

Regularization paths for SCAD- and MCP-penalized regression models
std

Standardizes a design matrix
plot.cv.ncvreg

Plots the cross-validation curve from a cv.ncvreg object
plot.ncvreg

Plot coefficients from a ncvreg object
summary.cv.ncvreg

Summarizing cross-validation-based inference
summary.ncvreg

Summary method for ncvreg objects
plot.mfdr

Plot marginal false discovery rate curves
perm.ncvreg

Permutation fitting for ncvreg
ncvsurv

Fit an MCP- or SCAD-penalized survival model
AUC.cv.ncvsurv

Calculates AUC for cv.ncvsurv objects
fir

Marginal false discovery rates
Lung

VA lung cancer data set