ncvreg is an R package for fitting 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.
ncvreg, see the “getting started” vignette
ncvreg, see the original article: Breheny P and Huang J (2011). Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection. Annals of Applied Statistics, 5: 232–253