ncvreg-package {ncvreg}R Documentation

Regularization paths for SCAD- and MCP-penalized regression models

Description

Efficient algorithms for fitting the regularization path for linear or logistic regression models penalized by MCP or SCAD.

Details

Package: ncvreg
Type: Package
Version: 1.0
Date: 2009-11-20
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 and for determining locally convex regions of the coefficients paths.

Author(s)

Patrick Breheny <patrick.breheny@uky.edu>

References

Breheny, P. and Huang, J. (2009) Coordinate descent algorithms for nonconvex penalized regression methods. Available at http://web.as.uky.edu/statistics/techreports/tr403/tr403.pdf.

Examples

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

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

[Package ncvreg version 1.0 Index]