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The R Journal
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Date of this Version
12-2020
Document Type
Article
Citation
The R Journal (December 2020) 12(2); Editor: Michael J. Kane
Abstract
Various R packages have been developed for the non-convex penalized estimation but they can only be applied to the smoothly clipped absolute deviation (SCAD) or minimax concave penalty (MCP). We develop an R package, entitled ncpen, for the non-convex penalized estimation in order to make data analysts to experience other non-convex penalties. The package ncpen implements a unified algorithm based on the convex concave procedure and modified local quadratic approximation algorithm, which can be applied to a broader range of non-convex penalties, including the SCAD and MCP as special examples. Many user-friendly functionalities such as generalized information criteria, cross-validation and ridge regularization are provided also.
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2020, The R Foundation. Open access material. License: CC BY 4.0 International