Regularization paths for SCAD- and MCP-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.
ncvreg
, see the "getting started" vignettencvreg
, see the original article: Breheny P and Huang J (2011) Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection. Annals of Applied Statistics, 5: 232–253To install the latest release version from CRAN:
install.packages("ncvreg")
To install the latest development version from GitHub:
remotes::install_github("pbreheny/ncvreg")
No configuration available
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