A Unified Algorithm for the Non-Convex Penalized Estimation: The ncpen Package
Department(s)
Graziadio Business School
Document Type
Article
Publication Date
1-1-2020
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.
Publication Title
R Journal
E-ISSN
20734859
Volume
12
First Page
1
Last Page
14
DOI
10.32614/rj-2021-003
Recommended Citation
Kim, Dongshin; Lee, Sangin; and Kwon, Sunghoon, "A Unified Algorithm for the Non-Convex Penalized Estimation: The ncpen Package" (2020). Pepperdine University, All Faculty Open Access Publications. Paper 56.
https://digitalcommons.pepperdine.edu/faculty_pubs/56