ncvreg (version 3.12.0)

ncvreg-package: Regularization paths for SCAD- and MCP-penalized regression models

Description

Efficient algorithms for fitting regularization paths for a variety of regression models (linear, logistic, Poisson, survival) penalized by MCP or SCAD, with optional additional L2 penalty.

Details

Accepts a design matrix X and vector of responses y, produces the regularization path over a grid of values for the tuning parameter lambda. Also provides methods for plotting, cross-validation-based inference, and for determining locally convex regions of the coefficients paths.

See the "Getting started" vignette for a brief overview of how the package works.

Visit the ncvreg website for more details.

References

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

Examples

# NOT RUN {
vignette("getting-started", package="ncvreg")
# }