ncvreg (Q20189)
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Regularization Paths for SCAD and MCP Penalized Regression Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | ncvreg |
Regularization Paths for SCAD and MCP Penalized Regression Models |
Statements
6 November 2025
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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/>.
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