varycoef (version 0.3.0)

SCAD: Smoothly Clipped Absolute Deviation Penalty

Description

Penalty function proposed by Fan & Li (2001) 10.1198/016214501753382273.

Usage

SCAD(x, lambda = 1, a = 3.7)

Arguments

x

numeric.

lambda

non-negative scalar, shrinkage parameter.

a

scalar larger than 2. Fan & Li (2001) suggest \(a = 3.7\).

Value

penalty for values of x.

References

Jianqing Fan & Runze Li (2001) Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties, Journal of the American Statistical Association, 96:456, 1348-1360, 10.1198/016214501753382273

Examples

# NOT RUN {
SCAD(-5:5)
curve(SCAD, from = -5, to = 5)
# }