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.
Arguments
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 "Quick start guide" for a brief overview of how the package
works.
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.