ncvreg (version 3.4-0)

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

ll{ Package: ncvreg Type: Package Version: 3.3-0 Date: 2015-03-18 License: GPL-2 } 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.

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

data(prostate)
X <- as.matrix(prostate[,1:8])
y <- prostate$lpsa

fit <- ncvreg(X,y)
plot(fit)

cvfit <- cv.ncvreg(X,y)
plot(cvfit)
summary(cvfit)