pbreheny/ncvreg: Regularization Paths for SCAD and MCP Penalized Regression Models

Fits 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. For more information, see Breheny and Huang (2011) <doi:10.1214/10-AOAS388> or visit the ncvreg homepage <https://pbreheny.github.io/ncvreg/>.

Getting started

Package details

URL https://pbreheny.github.io/ncvreg/ https://github.com/pbreheny/ncvreg
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
pbreheny/ncvreg documentation built on April 1, 2021, 8:25 p.m.